This is the only easy method that I know works !!!
1 - navigate to /System/Library/CoreServices/Dock.app/Contents/Resources and rename finder.png and finder128.png to anything you like eg. finderspare.png and finder128spare.png (you can rename an icon simply by pressing the "return" key when the icon is selected). You have to rename them because it is impossible to simply replace them while they are still in use by the Lion OS.
2 - drag your new icons of choice (that you've named finder.png and finder128.png obviously) into /System/Library/CoreServices/Dock.app/Contents/Resources
*3 - THIS IS THE REALLY IMPORTANT PART - AND IF YOU DON'T DO THIS PROPERLY YOU'LL END UP WITH A FINDER ICON THAT IS SIMPLY THE STOCK "PNG ICON" (A WHITE DOC WITH PNG WRITTEN ON IT)
Shut Down your computer and START IN SAFE MODE - to do this, you hold down the SHIFT KEY AS SOON AS THE WHITE SCREEN APPEARS (hold the shift key down until the login window appears). Enter your password and press enter... and what happened to me was... my macbookair ticked over for a while (little spinning loading dial on the white screen... for about 2 minutes) and then the login window reappeared. I put my password in again and TA-DA !!! When I did this I also changed the Trash icons at the same time.
Hope this finally clears up the issue on how to change the Finder Dock Icon in OSX LION :-D