For Android, you put the correct size images in the correct directories, like this:
<andproj>/res/drawable/icon.png - 64x64
<andproj>/res/drawable-hdpi/icon.png - 72x72
<andproj>/res/drawable-ldpi/icon.png - 32x32
<andproj>/res/drawable-mdpi/icon.png - 48x48
<andproj>/res/drawable-xhdpi/icon.png - 96x96
The directories with '-<x>dpi' are to accommodate devices of different display densities.
For iOS Xcode, first you create a set of icon images with the following sizes (png files) and put them in the project directory:
57x57, 114x114, 72x72 and 144x144
Then you use the Xcode interface to select the correct one for the App Icons under the Summary tab for the project TARGET.
For Mac Xcode, you create an icon.icns file which contains all of the icons for everything it needs. Another AppGameKit developer created a great tool for taking one large artwork image (of the size you will need to submit to Apple) and creating the required icon.icns file. The App is called 'ICNS Icon Creator' and is well worth the money spent on it.
For Windows, I don't know how to do it for Tier 1. I won't mention the Tier 2 version unless someone asks (it involves the the resource.h and <projname>.rc files).
Cheers,
Ancient Lady
AGK Community Tester and AppGameKit Master