As of now with Ubuntu 14.04, the method of creating a .desktop file works again. For example:
[Desktop Entry]
Type=Application
Terminal=false
Name[en_EN]=all2pdf
Exec=/bin/bash -c "IFS=$'\n'; args=(`( for f in %U; do echo $f; done ) | sort`); dir=(`dirname $args`); convert ${args[@]} $dir/convert.pdf "
Putting this code in a file "all2pdf.desktop" and making this file executable by
chmod u+x all2pdf.desktop
allows to drag some files on the icon named "all2pdf" and converting them into one single PDF file using "convert".
The example command is lengthy, but is also contains a remedy for the list of files always being in reverse order (regardless of the selection order of the files that are dragged).
I have just used the above method (i.e. the file) to create a number of PDF files with few pages each from a bigger set of single pictures that I created using "Scan Tailor". It worked just fine and because comments on the above answer do imply that creating a .desktop file might not work anymore I would like to share the above example.