OBS.: tested under gnome-shell on fedora 21.
Just create a new file at /usr/share/applications/[app_name].desktop
:
Example (skype):
[Desktop Entry]
Name=Skype
Comment=Skype Internet Telephony
Exec=skype %U
Icon=skype.png
Terminal=false
Type=Application
Encoding=UTF-8
Categories=Network;Application;
MimeType=x-scheme-handler/skype;
X-KDE-Protocols=skype