Nix is right, they do paint the ice.
copied from NHL.com
Ice is approximately 3/4" inch thick and is usually chilled at 16 degrees. The thicker the ice, the softer and slower it becomes.
The markings (lines, circles, creases, etc.) are painted onto a half-inch thick sheet of ice, which is sprayed onto a concrete floor that has frozen pipes imbedded. An additional coating is applied to secure the markings and build the ice up to the prescribed thickness.
The Edmonton Oiler have the best ice in the NHL.