If you want shortcuts for your GOG Galaxy games, make sure you have the "create shortcut on desktop" option checked in the Downloads tab in Galaxy's settings. If you didn't do that before installing a game, or accidentally deleted a shortcut, here's how to create one after the fact.
This is the easiest option in my opinion, especially if you already have nother GOG game's shortcut on your desktop. Just copy and paste any existing shortcut on your desktop, either by right clicking on it and choosing copy, using CTRL-C and CTRL-V, or right-click dragging to an empty space and choosing "Copy here".