I often use Windows software on OS X, and I do like
PortableApps as they do not need installation. For running Windows software, I use
Wine (the open source relative of Crossover), and I always create an icon to click on to open Windows software.
Creating these icons is quite simple: you just need one AppleScript for each Windows application. Here's what the script looks like on my Mac:
do shell script "/Applications/Wine.app/Contents/MacOS/startwine /Users/myuser/Programs/ASP32/Asp32.exe"
Modify the above to point to the proper location of both Wine.app and the Windows program. Save this script as an Application, and you're done. These icons can be placed in the Dock or in any other folder (Applications, for example).
If you'd like more details on this process (including screenshots and info on custom icons), I've
written it up on my blog.