I've been searching for a tutorial on how to do this. I found several sites who offer the icons for download but I rather learn how to do this myself. So how do I extract the icons?

The thoughtbubbles and stuff are in FullBuild2, while the catalog icons are in AllThumbnails

You'll need S3PE which can be found on the site in Inge's sig. There's several locations depending on what you want to extract. There's icons for the CAS stuff in Thumbnails/CASThumbnails, the icons for various moodlets and thought bubbles can also be found in various packages belonging to each expansion pack. The thumbnails for your Sims can be found inside the .world file for installed neighborhoods and in the .nhd file for each save.

But to extract all you have to do is find the icon you want to extract in S3pe, right click on it and choose export-to file. That's usually all there is to it.

To add to what the others said:
EP specific icons for CAS favorites, wishes, moodlets, traits, and lifetime rewards and in FullBuild_pxx.package of the EP.
Base game specific icons and icons for careers, Simport, loading screen, rabbit holes are in FullBuild0.package (base game) and DeltaBuild0.package.

Most of them are PNGs of type 2F7D0004 (IMAG). The balloons in FullBuild2.package and DeltaBuild2.package are .dds of type 00B2D882.

Thank you all for the quick responses, I'll be experimenting happily with the provided info.