Create a menu
Go to Appearance > Menus and create a new menu. The name of the menu is irrelevant. Add pages to the menu. Under Menu settings, set the menu to ‘Primary Navigation’. Save the menu.
The primary navigation is designed for using subpages. The subpages will show under the parent menu items. You can create submenus by placing a menu item under the parent and indent it to the right.
Before every menu item you can easily place a Font awesome icon. Navigate to Appearance > Menus and open Screen Options settings in the right upper corner and check the checkbox CSS Classes.
When you now open a menu item you have new input field for the CSS Classes.
To find the right CSS Class for the Font Awesome icon you can use the Font Awesome cheat sheet. Look for the icon you want to use and copy the CSS class and paste this in the CSS Classes input field. Save your menu and the icon will be visible at the front end.