I don't know how to add it to the menu, but according to these threads http://gnomesupport.org/forums/viewtopic.php?t=7044 http://gnomesupport.org/forums/viewtopic.php?t=7306
you should be given the option to shutdown after you've clicked logout if you
touch /var/run/console/$USERNAME # change that for your actual username
chmod +s /sbin/halt /sbin/shutdown /sbin/poweroff
I should point out that it creates a security risk to set the user ID to root on those programs. Basically it means anyone who's logged on at the computer can switch it off. So if you're running a server or controling a nuclear powerstation or something, don't do this. If you're just running a home desktop computer you should be fine.