Ok, so it's actually not really a tutorial since I take no credit for the creation of the snow textures but I thought I'd explain how I use the if that would make it even the tiniest bit simpler for everyone else.
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First of all, here are .PNGs of all the hats etc I've cut out to use:
The snow textures are not mine, they come from
here :)
Here are the animations of the textures.
Once you've added hats or whatever to your icon, open it in Image Ready with your choice of snow.
Then you need to copy the frame of your santa hat icon.
Before you paste this onto the snow frames, make sure all snow frames are selected (highlighted blue) by clicking on the first, holding shift, and clicking through to 15.
Then select the option to "paste over selection"
This will put the santa hat icon above all other frames on the layer palette. You'll need to make it visible over all frames though, so select all 15 frames again, then select the santa hat icon on the layer palette and check the layer visibility option.
Go through and make sure all 15 frames are covered by that top layer. Then you need to make sure all 15 are selected again. Then go back to the layer palette and set the layer style of the santa hat icon to screen. This will make the snow below visible over the the top of your icon.
Then press the play button and you should see snow falling on your icon!
I suck at tutorials so if something is still not clear, please let me know and I'll explain further. This is not exactly the way I do it - I cut a few corners by dragging layers instead of copying and pasting - but this is the easiest way to explain!