Hi,
The newer Openbox, 3.5.0 allows to display the icons in the menus. As usual, an Openbox "as is" will need to configure the icons one by one in the menus, but fortunately we will not need to do this ! the newer Openbox-menu will take care of it as it does for the dynamic menus.
So I tested in my machine and was in a wonder because the icons are there but not all. So I wondered why some of them are not displayed : are they missing ? Probably not, for some of them at least, so I went to the related desktop files and did some observations.
Missing icons : Addlocale, OOo4Kids-manager, Lomanager, Network-center (to give a few examples).
Addlocale has for call "Icon=localedrake.png". When I removed the ".png", the icon appeared.
Network-center has for call "Icon=/usr/share/mcc/themes/default/netcenter.png". Here removing the ".png" didn't help, so I commented the line, replaced it with "Icon=netcenter" and added a symlink to /usr/share/icons" pointing to /usr/share/mcc/themes/default/netcenter.png (the symlink is netcenter.png pointing to /usr/share/mcc/themes/default/netcenter.png).
Same for obmenu : this package has a desktop file containing an icon with the .png extention, then the icon does not appear in the menus.
What about changing the name for the symlink ? ie in /usr/share/icons:
ln -s /usr/share/obmenu/mnu48.png obmenu.png
and in the desktop file, simply : "Icon=obmenu". That works !
I prefer to tell you that I don't know why the file extension should not be present in the desktop files as argument to the Icon variable, but this is something I noticed since a long time.
The places : the places taken in account for menus are the icon theme chosen, then the hicolor-icon theme as fallback, and also the directory /usr/share/icons. It seems that icons placed in other directories will be ignored.
I wanted to come tell about it... because it's when the packages are being built that this detail can be taken care of.

Thanks,
Mélodie
PS: a pic
PS: icons in /usr/share/pixmaps are seen too. Example:
#Icon=/usr/share/pixmaps/mc.png
Icon=mc
does work, but
Icon=/usr/share/pixmaps/mc.png
didn't allow to display mc's icon.