The answer to this depends on what GUI your using, whether your using ubuntu's default Unity, Gnome, LXDE or XFCE.

I'm going to assume your in Unity. With unity you actually have options to do this, one is a traditional shortcut and the other, is to add it to the scrolling side bar.

To add it to the side bar, simply do the following:

go to Dash home, search for your application you want a shortcut to, and left click & hold to drag it over to your scrolling side bar.

for the traditional approach, for whatever reason seems to be a bit more difficult then it should be, here is a link with many different ways to do it. I personally recommend if your using unity to stick with the side scroll launch panel.

go here for alternative ways to make a desktop icon:

Ubuntu forum with alternatives and wiki on the subject of creating desktop items