So, I've tried your proposal:

open ICON, '<', \$icon_data or die $!;
my $image = Wx::Image->new();
$image->LoadFile( \*ICON, wxBITMAP_TYPE_ANY );
$images_sm->Add( Wx::Bitmap->new($image, -1) );
[download]

The result were errors like this: "Can't load image from file 'Wx::Image=SCALAR(0x33094dc)': file does not exist. Couldn't add an image to the image list."

Are you sure that $image->LoadFile(...) can take an IO::Scalar object?
No, I am not. I just adapted this trick from videobox (sorry, there is no browsable CVS there, you need to look into the released .zip, in dir VBR/RES.pm, this app's resource lib), where it sais:

package VBR::RES;


# WARNING This file was automatically created by mkres.pl
# Any changes will be lost!

use MIME::Base64;
use FindBin;
use Carp;

my %res=();

# Toolbar button bitmaps must be 16x15 256 colors!

sub GetResource {
    my($name)=@_;
    
    $resname=lc($name);
    $resname =~ s/\\/\//g;
    if (defined $res{$resname}) {
        return $res{$resname};
    } else {
        open(FILE,"$FindBin::RealBin/$name") or die $!;
        binmode(FILE);
        my $data=join('',<FILE>);
        warn("Read ".length($data)." bytes from file: $FindBin::RealBi
+n/$name\n");
        return $data;
    }
}


sub OpenResource {
    my($name)=@_;

    use IO::Scalar;
    
    my $data = GetResource($name);
        return IO::Scalar->new( \$data );
}


sub GetImage {
    my($name)=@_;
    
    use Wx qw( wxBITMAP_TYPE_BMP );

    my $file = OpenResource($name);
    my $image = Wx::Image->new();
    $image->LoadFile( $file, wxBITMAP_TYPE_BMP );
    close($file);
    return $image;
}


sub GetBitmap {
    my($name)=@_;

    return Wx::Bitmap->new(GetImage($name));
}

    
Wx::InitAllImageHandlers();    
my $resname='';
while (<DATA>) {
    if (/^$/) {
        undef $resname;
    } elsif (/^@(.*)/) {
        $resname=lc($1);
        $resname =~ s/\\/\//g;
    } elsif ($resname) {
        $res{$resname}.=decode_base64($_);
    }    
}
close(DATA);


1;

__DATA__


@vbr/bitmaps/add.bmp
Qk0mBQAAAAAAADYEAAAoAAAAEAAAAA8AAAABAAgAAAAAAPAAAAASCwAAEgsAAAAAAAAAAA
+AAAAAA
AAAAgAAAgAAAAICAAIAAAACAAIAAgIAAAMDAwADA3MAA8MqmAAAgQAAAIGAAACCAAAAgoA
+AAIMAA
ACDgAABAAAAAQCAAAEBAAABAYAAAQIAAAECgAABAwAAAQOAAAGAAAABgIAAAYEAAAGBgAA
+BggAAA
YKAAAGDAAABg4AAAgAAAAIAgAACAQAAAgGAAAICAAACAoAAAgMAAAIDgAACgAAAAoCAAAK
+BAAACg
YAAAoIAAAKCgAACgwAAAoOAAAMAAAADAIAAAwEAAAMBgAADAgAAAwKAAAMDAAADA4AAA4A
+AAAOAg
AADgQAAA4GAAAOCAAADgoAAA4MAAAODgAEAAAABAACAAQABAAEAAYABAAIAAQACgAEAAwA
+BAAOAA
QCAAAEAgIABAIEAAQCBgAEAggABAIKAAQCDAAEAg4ABAQAAAQEAgAEBAQABAQGAAQECAAE
+BAoABA
QMAAQEDgAEBgAABAYCAAQGBAAEBgYABAYIAAQGCgAEBgwABAYOAAQIAAAECAIABAgEAAQI
+BgAECA
gABAgKAAQIDAAECA4ABAoAAAQKAgAECgQABAoGAAQKCAAECgoABAoMAAQKDgAEDAAABAwC
+AAQMBA
AEDAYABAwIAAQMCgAEDAwABAwOAAQOAAAEDgIABA4EAAQOBgAEDggABA4KAAQODAAEDg4A
+CAAAAA
gAAgAIAAQACAAGAAgACAAIAAoACAAMAAgADgAIAgAACAICAAgCBAAIAgYACAIIAAgCCgAI
+AgwACA
IOAAgEAAAIBAIACAQEAAgEBgAIBAgACAQKAAgEDAAIBA4ACAYAAAgGAgAIBgQACAYGAAgG
+CAAIBg
oACAYMAAgGDgAICAAACAgCAAgIBAAICAYACAgIAAgICgAICAwACAgOAAgKAAAICgIACAoE
+AAgKBg
AICggACAoKAAgKDAAICg4ACAwAAAgMAgAIDAQACAwGAAgMCAAIDAoACAwMAAgMDgAIDgAA
+CA4CAA
gOBAAIDgYACA4IAAgOCgAIDgwACA4OAAwAAAAMAAIADAAEAAwABgAMAAgADAAKAAwADAAM
+AA4ADA
IAAAwCAgAMAgQADAIGAAwCCAAMAgoADAIMAAwCDgAMBAAADAQCAAwEBAAMBAYADAQIAAwE
+CgAMBA
wADAQOAAwGAAAMBgIADAYEAAwGBgAMBggADAYKAAwGDAAMBg4ADAgAAAwIAgAMCAQADAgG
+AAwICA
AMCAoADAgMAAwIDgAMCgAADAoCAAwKBAAMCgYADAoIAAwKCgAMCgwADAoOAAwMAAAMDAIA
+DAwEAA
wMBgAMDAgADAwKAA8Pv/AKSgoACAgIAAAAD/AAD/AAAA//8A/wAAAP8A/wD//wAA////AA
+cHBwcH
BwcHBwcHBwcHBwcHBwcHBwcHBwcHBwcHBwcHBwcHBwcAAAAAAAcHBwcHBwcHBwcAAPn5+Q
+AABwcH
BwcHBwcA+fn5+fn5+QAHBwcHBwcHAPn5+QD5+fkABwcHBwcHAPn5+fkA+fn5+QAHBwcHBw
+D5+QAA
AAAA+fkABwcHBwcA+fn5+QD5+fn5AAcHBwcHBwD5+fkA+fn5AAcHBwcHBwcA+fn5+fn5+Q
+AHBwcH
BwcHBwAA+fn5AAAHBwcHBwcHBwcHBwAAAAcHBwcHBwcHBwcHBwcHBwcHBwcHBwcHBwcHBw
+cHBwcH
BwcHBwcHBw==
(snip)
[download]

Is there some magic in VBR/RES.pm's routine nesting? And: the maturity of the videobox app tells me there must be some nasty bug in my routine... Anyone objecting?