I modified the default style and I have put all of my smilies in the default smiley directory. I didn't think this was a problem though as the files have different names and extensions (they are all .gif whereas the default are .png).
@Brogan out of interest, when I moved from phoBB to XenForo nearly 2 years ago (wow, time has flown!) I simply edited the default style to what you see today. At the time I thought it was the way to do it. Should I have created a new style and edited that instead? I didn't think it was needed and never use the default 'out of the box' style (and just create a new version of it if I ever need to test something).