Disclaimer: I'm using Windows 7 64-bit. If you're using another version of Windows, then I'm not sure about how it will work.
Step 1: Download NirSoft's FileTypesMan towards the bottom of this page. Make sure to download the right version. If you have 64-bit Windows, then download the x64 version; 32-bit, x86. If you aren't sure what version of Windows you have, right click Computer on the start menu and hit Properties. By System Type, you'll be able to see what you have. Unzip the filetypesman.zip file and run FileTypesMan.exe.
Step 2: Click here to download the .ico file that I made. If you'd like to make your own icon, then design it in a 256x256 document in Photoshop, save it as a png, and run it through Convertico to make it into an .ico file.
Step 3: Put your .ico file somewhere that it can stay. I have a folder in My Documents (D:\User Folders\My Documents\Icons) where I keep all of my icons, since I like to play around with them, but if you aren't as into graphic design as I am and aren't worried about documenting all of your .ico files, you could just put it in My Pictures or somewhere similar.
Step 4: In FileTypesMan, press CTRL+F to open up a Find window, and type in "saf". You'll see the .saf file extension highlighted in the main window of the app.
Step 5: Right click on .saf and click Edit Selected File Type. (or hit F2 if you're a shortcut junkie) This will open up an Edit File Type window.
Step 6: On the Default Icon row, hit the "..." (browse) button. When the next little window opens, hit "Browse..." and navigate to your .ico file that you want to use for .saf files. Double click it and hit OK in the Change Icon and Edit File Type windows, then close FileTypesMan.
You're done. It should be a lot easier to pick out your .saf files apart from the rest of the files in your Personal Folder. I hope this helped someone out.