You can add icons to just about anything by adding the following options to the item you want to use to display inside:
data-icon="arrow-l" data-iconpos="left"
Where arrow-l indicates an arrow pointing to the left.
If you want to specify your own icon / image, rather than using the one provided by jQuery Mobile, then you can add the image inside li (in front of the text) with the class either ui-li-icon or ui-li-thumb :
<li> <img src="images/gf.png" alt="France" class="ui-li-icon"> <a href="#">Social Triangle</a> </li>
ui-li-icon is apparently limited to 16px X 16px and uses the following css conditions:
ui-li-icon { max-height: 16px; max-width: 16px; }
ui-li-thumb is apparently limited to 80px X 80px and uses the following css conditions:
.ui-li-thumb { max-height: 80px; max-width: 80px; }
If you look at the jQuery Mobile documentation links above, it will show you how to use them in more detail, just check the source: