(require 'org-bullets)
(add-hook 'org-mode-hook (lambda () (org-bullets-mode 1)))
select, do [M-x eval-region]. The *s will be replaced with utf-8 bullets next time you open an org file
org-bullets used to hide the leading stars and only show the last one (as a bullet). This feature was removed since there already is a feature in org-mode which does exactly that (read about it here and since it didn't work well for emacs running in a terminal. For enabling it add this to your .emacs:
(setq org-hide-leading-stars t)