I accually have the 'grimm.menu' in the /hildon directory. not in a /hildon/grimm directory. so it's in the same folder as the applications.menu.
(offcourse you can change 'Grimm' to whatever, i just made it that to not conflict with anything already there)

and yeah, i would also like a desktop shortcut capable of launching any custom menu. but like posted, that's not yet doable.