Tom, you should do a spritesheet for your icons. It would make a small difference to loading time, but a huge different to HTTP Requests per page loading.
Loading each icon as a separate file work, but it's a perfomance hit. Doing a spritesheet would make things a tad better and would make images load faster since it's just one huge image instead of loads of small.
Small details makes huge differences.
Example of sprite sheet: Twitters spritesheet
Planned: Testing with core icons, if beneficial then others may be merged as well.