I use shortcuts all over LauncherPro. Long press the screen where you want it to go, select "Shortcuts" and then select "Applications." Choose the app you want to shortcut to, then you'll see a screen that allows you to customize the icon and the title of the app. It takes a few more steps than just adding the app right to the screen, but it's great for custom icons and titles.
You can also follow this same process for making shortcuts to folders. Just select "Folders" instead of "Applications." It works GREAT with Custom Shortcuts, if you use that for app organization.
Hope this helps!