Best way to create a 'vector image' of the 'desired arrow'?
I think there is no best way for doing things like that. What I do, though, is creating an edge in yEd with the desired arrow, moving the edge's source and target nodes close together such that only the arrow is visible between the two, changing the fill and line colors of both nodes to "No Color", and exporting that edge to SVG.
How does one 'set' the label's icon to the image?
Select the label in question and click into the "Icon Properties" field. This will open a dialog that lets you choose an icon for the label.