So I've found an easy way to do this, not necessarily the easiest way but it works.
OSx
I use this bash script to convert my folder to a .app folder (which is all OSx needs apparently)
Windows
and on Windows I use IsTools to create my in/un-staller and shortcuts.
Linux
I've not found an easy peasy way to do this on Linux yet but we don't have a customer base on Linux so it doesn't matter. I have however found this but it seems awefully convoluted. Shan't bother for now.