Using Rox, I just go to /usr/share/applications and just drag a desktop file to my desktop and rename it.
This seems to work with most all the .desktop files except the "mb-applet" ones.
Those are accessible from the taskbar anyway.
Some packages don't create a .desktop file, so I just modify another .desktop file and rename it to the executable's name.desktop.
When modifying a .desktop file for another app, I try to use one that is simple and generic.