Elena D. I noticed this pain point as well and no there's no super fast way to do it.
However, one idea that is popping up is, lets say you can grab an icon set and put it on a figma canvas, and they are all identical in size - select them all, and then turn that into a component set.
Now that they are a set, grab an instance of that new component set, and paste that into the existing icon component set. Essentially nesting the two component sets - I wonder if that would work? I have not tried it.