Open all your icons by hitting the menu button, then hit the menu button again. You can choose to Move, Hide, Show All, Add Folder, and Switch Application. Select Move Icon, and then place the icons you would like to appear on the home screen in the first 5 (or 7) locations.
Now, the icons that you moved should appear on your home screen.
Please note that some themes have certain icons that are not movable, such as Messages, Calendar and Call Log. If you see duplicate icons, you can hide the duplicate so it doesn’t show twice on the home screen.