Pekele,

Your time has not been wasted - you are very nearly there! (But please don't expect too much from Xara LX at the moment - it's not fully working yet and the interface on Mac OS X is still a bit clunky.)

You just need to make a "bundle" to put your executable in. Do this on the command line:
cd to the XaraLX folder
mkdir -p XaraLX.app/Contents/MacOS
cp XaraLX XaraLX.app/Contents/MacOS

Then to run the program:
open XaraLX.app

Phil