The month-arrow left and right arrows have a CSS class applied: mal-usr and mar-usr respectively (that stands for "month arrow left" and month arrow right")
You can use this custom class and a little jQuery/javascript to override the source settings for these arrows.
If you are using the dynamic or static-embedded calendar style, you can put this code directly on your webpage somewhere. But if you're using the iframe-embedded calendar you need to put it inside the calendar itself (in your localendar title or footer field under Options->General makes the most sense)
Here's the sample code you can customize to point to your own images:
<script>$(document).ready(function() {$('.mal-usr').attr('src', 'https://www.xxx.com/yourleftimage.gif');$('.mar-usr').attr('src', 'https://www.xxx.com/yourrightimage.gif');});</script>