I am also fairly new to linux, and wanted the same ability, without supplying a pw everytime. If you run 'visudo' it will allow you to modify your 'sudoers' file, which will all you to type a command such as 'sudo mygame' and run it as whoever you want. In the user privelege section, add a line (all on one line) similar to this:
myusername mycomputername = (root) NOPASSWD:/pathtoapp1/appname1,/pathtoapp2/appname2
Then your shortcut can just be 'sudo /pathtoapp1/appname1' and will be run as root without requiring a password, as long as 'myusername' is running it.
Hope that helps..