Unfortunately, the Lightswitch team has apparently not thought of this... at least since Visual Studio 2012.
It is a manual process, so each time you publish you will have to put this in the default.htm file located in the main directory
<head>
...
<link rel="shortcut icon" type="image/x-icon" href="favicon.ico" />
...
</head>
Where favicon.ico is the URL of somewhere on the server/computer.
This line is to be placed within the head tags.