The biggest hurdle is that I need to log into LXDE in order to place a desktop icon and then log back into XFCE to use it. LXDE does not show you a proper properties dialog like Gnome 2 and XFCE.
It can be usefull. For MPlayer, you need to change the command in the Properties window from "gmplayer %F" to "gmplayer -ao pulse -vo x11 %F", otherwise it won't work. For some odd reason gedit will only start if you try to open it twice, but only once from the menu.