Although it took me ages to find out how to change the default X cursor the solution is simple.
1. Install the icon/cursor theme using your default package manager (or extract it to /usr/share/icons)
2. List the contents of your /usr/share/icons directory
~ % ls /usr/share/icons [truncated output]
Chameleon-Anthracite-Large/ Chameleon-Anthracite-Small/
HighContrastLargePrint/ LowContrastLargePrint/ gnome/
3. Copy the name of the cursor theme you want (in this case Chameleon-Anthracite-Large)
4. Add the name of theme to ~/.icons/default/index.theme
~ % vim ~/.icons/default/index.theme1 [Icon Theme] 2 Inherits=Chameleon-Anthracite-Large
5. Restart the X server
Note: The number next to “[Icon Theme]” and “Inherits” is part of the Vim display (use :set nonumber to get rid of it). Do not add it to the file.