I've created a .desktop file for this. Posted in another thread, but it seems I must wait for someone to approve the post. Since it was asked directly here and maybe it is useful for someone else:
[Desktop Entry]
Version=1.0
Type=Application
Name=Pillars of Eternity
Comment=
Exec="/path/to/Pillars of Eternity/start.sh"
Terminal=false
Categories=Game;
Icon=/path/to/Pillars of Eternity/game/PillarsOfEternity.png
Edit Exec and Icon accordingly, save to $HOME/.local/share/applications/pillars_of_eternity.desktop
Will show up in XFCE menu games (and probably any other desktop environment, too)
