The way I do it isn't very efficient, but here's an answer for you:
I use the "explorer window" (sorry for using what is probably the wrong term, i'm a recently converted linux user from windows) to browse to the directory containing the file I want to have on my desktop, right click on it, and "make link" (which is similar to a shortcut in windows - i think - it works the same as one). after the link is created (in the same directory), I right click on that link, cut file, then right click and paste on the desktop.
After doing this, you can also right click on this link and edit the properties (the icon and such), and you can also rename the link to something a little more descriptive or 'cleaner'.
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