I have some shell scripts/python executables to be added to xfce. 'Adding an application' means that my applications are listed in xfce4-appfinder - so that I can use them in places like launcher panels.
I'm using fedora 18 / xfce 4.10.
To add them manually, follow the instructions here: http://wiki.xfce.org/howto/customize-menu.
To do it graphically (with a menu editor), right-click the Applications Menu, select Properties, then click on the "Edit Menu" button.