You can "leave out" icons on your Workbench. But as someone already said, then it disappears from its original place. Quite a strange behaviour, perhaps, and caused me a bit of confusion the other day.
You can also sometimes simulate shortcuts by creating a project icon that has the path to the program you want as its default tool. (It's a trick I experimented with once by putting all the files a game used inside one drawer, and then giving the drawer a project icon that loaded the game from inside the drawer.)