If you are using the main C++ distribution of wxWidgets, Feel free to ask any question related to wxWidgets development here. This means questions regarding to C++ and wxWidgets, not compile problems.
I'm also using icons on windwos applications.
I can't read if you create the object file or not.
So if you forgot it, do following to test it:
copy the icon in your application directory, change the path in the ressource file. Then run in the command line
"windres --use-temp-file -iaaaa.rc -oaaaa_rc.o" (without quotation marks). So you will get a file aaaa_rc.o.
Include this in your linker path and it should work.