If you want to include favicons as part of your WordPress theme then you should add the following code into the header of your pages. The code includes a tag for standard favicons as used by most web browsers. It also includes a tag used by Apple devices such as iPad and iPhone.
Code for adding favicons to your WordPress theme:
<link rel="shortcut icon" href="<?php bloginfo('template_directory'); ?>/favicon.ico" />
<link rel="apple-touch-icon" href="<?php bloginfo('template_directory'); ?>/icon.png" />
You then need to create a favicon.ico file and a icon.png image file and add these to the template folder.
The icon file should be an image 16×16 pixels.
The .png file for Apple devices should be 57×57 pixels (although I have seen some suggestions that 114×114 is best for later Apple products). Don’t worry about adding the curves and shiny effects that you see on the Apple devices, these will be added automatically.