These instructions will help you make a KDE desktop icon which starts the Sage notebook. Instructions for a Gnome desktop icon are probably similar.
Create a notebook.sage file containing only the line
In your Desktop subdirectory, create a file Sage-notebook.desktop containing the lines
[Desktop Entry] Comment= Comment[de]= Encoding=UTF-8 Exec=/usr/local/bin/sage /home/martin/notebook.sage GenericName= GenericName[de]= Icon= MimeType= Name=Sage Name[de]=Sage Path=$HOME StartupNotify=true Terminal=false TerminalOptions= Type=Application X-DCOP-ServiceType= X-KDE-SubstituteUID=false X-KDE-Username=
You will have to edit the Exec= line to point to your sage script and your notebook.sage file.
Right click on the Sage notebook desktop icon and click on Properties, then Application, then Advanced Options, then Run in Terminal. If you want to title the xwindow terminal, add in the terminal option box -T "sage notebook".
To quit the Sage notebook, first enter Ctrl-c in the xwindow terminal running Sage, then enter Ctrl-d to quit Sage in the terminal, and finally close the browser (or browser tab) which was displaying the Sage notebook server.
For a picture for your icon, check out the Sage art at http://wiki.sagemath.org/art.