This annoyed me when I first ran current and kde4 but I discovered that it is possible to drag and drop the .desktop files from a konqueror or dolphin directly onto your desktop canvas as in the desktop not desktop directory. Apparently kde4 likes icons generated from .desktop files such as you find in /usr/share/applications. The bother for me was not being able to right click on my desktop and create an icon for my own scripts and/or aps that did not come with an icon/desktop file. The workaround is to create your own using another .desktop file as a template. I make up my own and keep them in /usr/local/share/applications. Seems like allot of work but I do them for more than one machine here. I wrote about this on a kde-4.2.4 workarounds page on my website which is now getting redundant but I haven't taken it down yet.
Here's the link if you are interested and pardon the spelling mistake I just noticed 4 months or so after the fact: http://turtlespond.net/help/kde4_hints.html