You can have multiple favicon sizes in one favicon file, but I'd advise against trying to load all of them at once (as only the last one would count).
As for changing default images, I'd copy the "/images/general/default" folder to a new one (say "customized" (all of my sites have numerous folders for various styles)) so that when you do an upgrade it won't try to overwrite the files back to stock (you'll have to be diligent to check to see if there are new images in the future; something I try to include in any changelogs on the wiki), then just set the desired image set on all of your styles. Some point in there you'll want to slap your new favicon.ico file into the new folder.
id242 linked me to
this which goes into other types of images (other than favicon's).
