How do I change the folder icons in the "Places" menu?

How do I change to icons in here?

If you want to add emblems (like the document, picture frames) on top of the default folder icon, see this post

If you want to change the underlying icon itself, then there are 2 options

Option #1 - Change the icon theme

1. you can change the icon theme by opening Appearance Properties (System -> Preferences -> Appearance)
2. In the Theme tab click on "Customize..."
3. In the Customize Theme dialog, select the "Icons" tab and choose the preferred theme.

Option #2 - Customize icon for a specific folder

1. Go to places menu and open the folder you want to customize
2. Press Alt + Up or click Go -> Open Parent to display the parent directory.
3. Right click on the directory and select "Properties..."
4. On the Properties dialog, click on the icon on the top left and choose the bitmap in the "Select Custom Icon" dialog that opens.

The icons from various themes installed in your PC are typically stored inside /usr/share/icons

Even you can have an image of your own choice if you have a .svg file with you. Just open the folder and then right click in the folder. Choose properties over there. And then click on the folder icon. After which you can browse for a .svg file from your Ubuntu machine. You can download .svg files for free it's so easy. Just google for it. Even some softwares available in the Ubuntu Software Center can create a .svg file. (Inkspace).