I guess I should also note that it's easy enough to leave an icon out, similar to a Windows shortcut (except it doesn't make a "copy", it uses the actual icon), by selecting the icon, going to the Icons menu and selecting "Leave Out". This will leave the icon on the desktop so you can click on it without needing to open any windows up. You can then move the icon to where you want it to stay, click it and select "Snapshot" from the Icons menu.
I've found it's more memory efficient to have ten programs assigned to FKey than it is to leave ten icons out on the desktop, and when you're running a 1 or 2mb system, you want to try and be efficient with your RAM.