Where to drop downloaded iconsets ?

You can save them wherever you want, and then use the Browse button in the change icon dialog to select your icon.

To be honest, I don't even know exactly where the OD icon library even is, since it creates different folders all over the harddrive. Example: I have all my icons saved to D:\Steph\Icons, so they'll always be there, even if I uninstall/reinstall OD or Windows.

An easy place to find and put them is in the Bundled Images folder. (A lot of people also use the ObjectDock Library folder). If you use the Bundled Images folder, be sure to create a new folder under the name of the icons; otherwise you'll end up with a mess of unmatched icons eventually. Bundled Images is found in C\Program Files\Stardock\ObjectDock\. When you right-click on an icon that you want to change, you'll see "Dock Entry Properties". Clicking on that will open the dialog box where you will see "Change Image". Click on that, and Bundled Images and ObjectDock Library will be on the left-hand side.