Actually file extensions are there and not there.
It's funny really for people coming from a windows world.
Linux doesn't use the extension to determine the file-type. It uses the mime-type which is stored in each file.
Therefore executables don't need any extensions. As long as they're marked as executables, they'll work.
When saving files from programs in Linux, you NEED to specify the extension. Therefore I hope that answers your question.
EDIT: And oh, when using KWrite and you want to be able to use the file in Windows, then you need to set the End of Line
to Windows/DOS from the "Tools" menu.