No you don't. There's a good starting wizard. But if you want advanced things like extra shortcuts you'll have to add them in. It's really not hard though. Just look at the script, and if you wanted to add another shortcut its pretty clear how to do it it's something like:
Name: "{group}\Game Statistics"; Filename: "{app}\stats.txt"
That would make a shortcut to a stats file. Like I said, its pretty clear. Look for something like that in the shortcut for the application .exe file and just copy and edit it.