The wxPython demo has an example. It looks like you need to create an ImageList and extract the ids. Then when you set up the tree's items, you will want to use the SetItemImage method to add the selected icon:
self.tree.SetItemImage(item, fileidx, wx.TreeItemIcon_Normal)
self.tree.SetItemImage(item, smileidx, wx.TreeItemIcon_Selected)
So in the demo it shows a folder icon when it's unselected. Then when it IS selected, it shows a smiley instead.