Often when I'm working on a project, my desktop (especially on my 13" MacBook) can get overrun with icons and folders. Eventually I make a new folder, like 'sort 3/2/09' and move everything there to get back my desktop. Unfortunately, in the process of cleaning up my desktop I'll invariably put documents and applications that I wanted to stay on the desktop into the folder and of course the next time I need them, I have to search for them. Enter locking the document. This is something I've known about for YEARS but never tried using for this purpose and it works great! Simply select the document that you want to stay on the desktop:
That's it! You can move the icon around on the desktop, even put a copy of it in another folder, but the original will stay on the desktop.