You’ll need to create PNG assets with the following sizes and filenames:
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icon_16x16.png
icon_16x16@2x.png
icon_32x32.png
icon_32x32@2x.png
icon_128x128.png
icon_128x128@2x.png
icon_256x256.png
icon_256x256@2x.png
icon_512x512.png
icon_512x512@2x.png
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All of those assets should go into a folder named ‘Icon.iconset’.
Afterwards, just fire Terminal and type the following command:
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iconutil -c icns
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If all went well, you should have a .icns file right there!.
Reference: Apple’s Guidelines.