Open Dashboard > Appearance > Menus

And Select the Header menu.

First, you confirm CSS Classes must be enabled.

To enable CSS Classes

The screen option is in the top right of the screen. Click it and you can see CSS classes check box. You need to enable this option.

Then you can click the menu item and see the input field on CSS classes. Then you need to enter the font awesome class name (example: fa fa-star)

You can copy CSS class name from this link

After entering CSS class save menu, then you can see the icon.