How do I add a launcher for .sh applications?

PhpStorm now has a feature to create a launcher for you. It's available under:

Tools -> Create Desktop Entry...

This will add PhpStorm to the system menu for the current user or for all users. The created launcher is also compatible with Gnome Shell.

I worked it out :D

In Terminal

gedit ~/.local/share/applications/<Your App Name>.desktop

In gedit

Here you should edit: Note that the below comments are best guess, feel free to correct me

[Desktop Entry]  
Version=1.0                                #not sure what this does
Name=My Awesome App                        #Obviously the application name
GenericName=Awesome App                    #Difference between this and Name?
Comment=This app is awesome!               #The tooltip
Exec=/path/to/sh/file/file.sh              #The command you want to execute
Terminal=false                             #Should the app run in terminal
Icon=/opt/PhpStorm-103.243/bin/webide.png  #The pretty picture :D
Type=Application                           #Um?
Categories=Network;WebBrowser;             #Categoies the app should be in
MimeType=text/html;                        #Mime types the launcher can open
Name[en_NZ]=My Awesome App                 #Localized version of above info
GenericName[en_NZ]=Awesome App             #Localized version of above info
Comment[en_NZ]=This app is awesome!        #Localized version of above info

Save the file.
Now your application will show in searches :)

Alacarte application can help you. You can also find it under "Main Menu". Use the Software Center or

sudo apt-get install alacarte

Just choose a folder (not very important if you have Gnome 3, unless you use some menu extension) and then on the right New Item. Here you can give the new launcher a name and browse to its location. You can also provide a logo by clicking on the logo.