You can create a .desktop file to add a shortcut in your Desktop. You can also add X session options to your login graphical screen.

Desktop shortcuts

Just create a .desktop file in your Desktop folder:

# $HOME/Desktop/thunar.desktop
[Desktop Entry]

Comment=File Manager

Then, mark it as executable (chmod +x $HOME/Desktop/thunar.desktop). You can add an icon (Icon=/path/to/icon). Icon path can be an absolute path or simply a filename if the icon file is inside $XDG_DATA_DIRS/icons or /usr/share/pixmaps.

X sessions

When you install a desktop environment or a window manager, it usually shows automatically in your login screen as an option. But if this does not happen, you can create a .desktop file inside /usr/share/xsessions (you need superuser privileges).

# /usr/share/xsessions/xfce-custom.desktop
[Desktop Entry]

Name=Custom XFCE
Comment=Run XFCE desktop environment

Then, logout to see the new session option.

Login screen with custom session entry