It's fairly easy to add them to the menu, so long as you aren't afraid of a text editor.

First i'd suggest making a backup of jwmrc just in case you should botch the syntax up, which could leave your menu unusable. In xterm type this: cp /etc/jwm/jwmrc /etc/jwm/jwmrc.bk
Now open /etc/jwm/jwmrc in an editor of your choice. I'd suggest creating a new menu entry called "Gameboy" if you have alot of games so you dont overload the "Games" folder. So to do this scroll down just past the "Games" entry (it should make sense once you are looking at the file as to what i'm talking about). Now after the xgalaga entry you'll see </Menu> That signifies the end of the "Games" folder. Now hit enter to start youself just under that </Menu> tag.
Add the following:
<Menu icon="folder.png" label="Gameboy">
<Program icon="whatever-icon-you-want.png" label="Name-of-game">/usr/games/sdlgnuboy --scale=2 --samplerate=11000 /SD/SD_1/roms/name-of-rom.gbc</Program>
<Program= blah blah blah blah</Program> (keep doing this until your done adding games)
</Menu> (closes the gameboy folder)
Save the file and reboot. If you didn't mess up the syntax any it should work

If by chance you messed up copy the backup jwmrc back to restore the original. cp /etc/jwm/jwmrc.bk /etc/jwm/jwmrc
Also .png can be any shape/size/color. The desktop icons are auto sized to 48x48 on the desktop.
As for a the basics needed in a .desktop file, here ya go:
[Desktop Entry]
Encoding=UTF-8
Name=Name of app
Exec=/path/to/executable
Icon=some-icon.png
Type=Application
Thats it, dont need more than that.
Cheers.