You can with a style, but you have to add it to the main Theme declaration.
<resources>
<!-- Base application theme. -->
<style name="Your.Theme" parent="@android:style/Theme.Holo">
<!-- Pointer to Overflow style ***MUST*** go here or it will not work -->
<item name="android:actionOverflowButtonStyle">@style/OverFlow</item>
</style>
<!-- Styles -->
<style name="OverFlow" parent="@android:style/Widget.Holo.ActionButton.Overflow">
<item name="android:src">@drawable/ic_action_overflow</item>
</style>
</resources>
You also can change it dynamically, which I go into detail about here:
Changing the Android Overflow menu icon programmatically
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