Pixmaps:
($prefix)/share/pixmaps/gvolwheel/audio-volume-low.png
($prefix)/share/pixmaps/gvolwheel/audio-volume-medium.png
($prefix)/share/pixmaps/gvolwheel/audio-volume-high.png
($prefix)/share/pixmaps/gvolwheel/audio-volume-muted.png

You can change it. Just replace pixmaps from any theme. (default icons path: /usr/share/icons/$theme/24x24/status/)

For use gnome icons (if started gnome-settings-daemon), open "Preferences" and change "Use gnome icons", and restart gvolwheel  