What do you mean "what to do" ?
If you want to install a whole icon theme you should copy the whole theme directory into /.local/share/icons (example: if the theme directory is in your home folder, cp -R themeDirectory .local/share/icons
and that's it), if you want to add or replace a single icon from an existing icon theme you should copy that inside .local/share/icons/themeDirectory.
/usr/share/icons
is the system icon directory and it's better to leave it alone.