To run any X program, you can just start it from an xterm, ie.
and put it in the background with '&' to carry on working in that shell. So long as the $DISPLAY environment variable is set then you should be able to try the program out.
But, about icons and things... It all depends what window manager you use. I can't answer for KDE as I've not used it. In twm fvwm fvwm-95 etc... it is a matter of looking through your .fvwmrc (or equiv) file and following the syntax already there to add a menu in the appropriate place. Coupled with the manpage for the wm then it's do-able but not that easy. Also, some wm's generate that rc file 'on the fly' with m4 or somesuch, and before you know it you find yourself going round in circles trying to find the right file to edit. If you don't have an rc file for your wm, then the system one will normally be used instead eg. /usr/X11R6/lib/X11/fvwm2/system.fvwmrc
RedHat have made this easier if you use their RPM's, as they now put supply general config files and scripts to read them and convert them into a menu item for you. (This works with several wm). However, you don't always want to be waiting for RH or someone to make an RPM.
What I use now is NextStep. In my opinion it couldn't get much simpler. There is a directory for each user called ~/GNUstep/Library/AfterStep/start
Any directories I put there appear as new popup menus on the start menu, and files containing a one line command appear as menu options. Effectively it's doing the same thing as the other wm's, as it is based on the same code, but there has been a lot of work put in to splitting the many configs down into managable chunks.
OK, so what I don't get is drop-in RPM's like the wm's supported, but now that making an icon or menu is not a twenty step process full of pitfalls and mines, I don't mind.