As we create shortcuts on the desktop on our windows machine, you can do the same on your windows 8 phone too. This is called PIN an application.
For example if you want to PIN the settings icon to your home screen, from the home screen swipe towards the left and drill down and press and hold on the settings button where you get an option pin to start. Click this option and you can see the Settings icon on your home screen.
You can pin any application to your home screen using the above mentioned steps.