This thread is already over a month old, but here are my two cents anyway.

Via GUI

1. Right-click on the desktop → Create new empty file with file extension .desktop

2. Open the file in a text editor such as Kate and paste in the information for the desktop shortcut:

   [Desktop Entry]
   Type=Application
   Name=Shortcut Name
   Exec=/path/to/script.sh
   Icon=utilities-terminal
   Terminal=true
   

   Notes:

   • The Exec path to the script must of course be set accordingly.
   • If you set Terminal=false then the script will run invisibly in the background.
   • Remember to set permission to run the shortcut as a program (via right-click on the shortcut → Properties).

Via Console

This is a one-liner for the bash/fish console. It creates a desktop shortcut for the current user, fills in the example content from above and sets execution permission for the shortcut.

printf '[Desktop Entry]\nType=Application\nName=Shortcut Name\nExec=/path/to/script.sh\nIcon=utilities-terminal\nTerminal=true\n' > "$(xdg-user-dir DESKTOP)/MyShortcut.desktop" && chmod +x "$(xdg-user-dir DESKTOP)/MyShortcut.desktop"

You can change the file name of the shortcut and the contents of the file afterwards, or before you send the command to the console.