A desktop file (extension .hdf) is in fact an XML document, so I wrote CreateHKDesktop (in Visual Basic), which will Create a correct .hdf file containing references to files dragged to the CreateHKDesktop window.
CreateHKDesktop can run as a standalone application, but is also a plugin for HTML-Kit. The plugin resides in the Addins section of the action bar in HTML-Kit. All it does is launching the CreateHKDesktop standalone application.