The first stage is to open up your home screen and then press the phone's "menu" button (the button that is next to the home button). This will open up the home screen menu which should look something like the small list on the image on the left. The list will feature "Edit", "Create folder", "Search" and "Settings", from here you need to select "Settings".
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Inside the "Lock screen options" screen you will see another list
of options with the top one being "Shortcuts" being the top one.
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Now you are effectively done and can either go back to fiddle with other settings that you may want to change or you can go back to the home screen (or do whatever else you wish to do with the handset). Just remember the next time you lock the phone you will see the new icon where the other one was. As you can see in this final picture, the "Music player" app is now on the lock screen as a shortcut.
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