Preview is an amazing tool! I would say I probably use Preview at least twenty times a day. Today I learned that Preview can even create Windows Icon files (and Mac icons of course). Amazing; simply amazing.
Once you have an image that you would like to convert to an icon, open the file with Preview and choose File > Export. When the Export As window appears hold the option key (⌥) key while clicking the Format selection dropdown menu.
You Will now have a myriad of choices including several icon formats including “Microsoft Icon”.
Now you know!