Example using Gimp

Click on 'File' on desktop

create a new script
(right click new/create script)

and modify like so

drag to desktop

Now you want a 'gimpy' icon no doubt?
right click (on icon) File/set icon
file (name of file)
Set Icon

Example using Gimp 2

If you want a desktop icon to launch Gimp, navigate to: /usr/share/applications
find the file named similar to Gimp-2.4.6.desktop and drag it onto the desktop.
Now right click on the icon you just created on the desktop and select Set Icon,
using ROX-Filer find the Gimp icon then drag it onto where it says "Drop an icon file here"

As to where to find the Gimp icon, it could be in one of several locations,
just try the usual places:

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