You can create a shortcut on the Desktop by using
gnome-desktop-item-edit in terminal as follow (note that if you don't have installed the package
gnome-desktop-item-edit, you must be install first, so if you have
gnome-tweak-tool installed, then it is installed automatically):
gnome-desktop-item-edit --create-new ~/Desktop
This will start the dialog (Create Launcher):
Insert for Name any name you want (for example 'SMath') and for Command
sudo mono /usr/local/SMath/SMathStudio_Desktop.exe and press Ok.
You can put this
.desktop file in any folder, and then drag and drop to the Launcher.
Thanks to Binarylife for this answer.