Actually, you don't need to create that file manually, of course. You could also open that directory in Konqueror, and drag'n'drop the shortcut from the K Menu into it.
Also, not only shortcuts are executed but any executable file you put there, shell scripts for example.
Gnome has a similar functionality, it used to be in the Gnome control center. Look out for a menu entry that is called "Session Management" or something like that.
Or just call gnome-session-properties from a terminal