This video shows how to install software to have openbox menu automatically update itself including icons. This is build on Debian Testing but should work for all. I am using it on Sid now also.
libmenu-cache1-dev libglib2.0-dev libgtk2.0-dev lxmenu-data menu-xdg
sudo mkdir /usr/share/openbox
sudo touch /usr/share/openbox/menu.xsd