I never would have guessed that this was so easy and maybe some of you felt the same so haven't bothered. But it really is easy to set up a favicon with wordpress.
First,
go here and load the image you would like to use as your favicon (make sure it's not copyright to someone else!). Save it and then upload it into the main folder of the theme you are using for your blog.
Next,
go here and upload the Favicon Manager Plugin. Put this in your plugins folder and unzip it.
Next, go to the dashboard of your blog and activate the Favicon Manager Plugin. When you go to Settings you will see a new option called Favicons. Click on this. Enter the pathname, update, and in a very few short minutes you will soon see your favicon in your address bar when you go to your page.
I did my first one for
Inky Blue Allusions but I think I'll do it for all my blogs as well because it was so much easier than I ever thought it would be!