Commit d0ad9f810 to devel adds a [add-desktop-links] button to Desktop-integration.leo (under Settings menu).
When run it creates launch schortcuts for Leo on the Desktop and in Start Menu. It's supposed to work on all platforms but I've only tested on Windows -- so please test and report.
On Windows the shortcut starts Leo with messages console, so the main Leo gui and command prompt window. This could be set to be only the gui. (I decided against creating yet-another-button to offer the choice of both. speak up if you feel strongly. ;-)
-matt