Create the *.desktop file
Create a text file whose extension is 'desktop', with the following content:
On ItemName write the name that should be displayed on the menu. Command is the command that should be run. IconFile is the path to some *.png file. The Category dictates the sub-menu where the item will be placed. See the table bellow to see what Category value you should use.
To learn more about *.desktop files see the reference at the end of this post.
Add an item for you user only
Copy the *.desktop file to: $HOME/.local/share/applications
Add an item for all users
You'll need root privileges to do this.
Copy the *.desktop file to: /usr/share/applications
After you copy the *.desktop file the new item will be automatically added to the Applications Menu.
Xubuntu : XFCE Menu Items
Customize the Xfce menu
Anatomy of a .desktop File