How to make a command line executable an application?

Use Automator.

1. Open Automator and double-click on Application.
2. In the "Name" search box, type Apple and you should see "Run AppleScript".
3. Drag "Run AppleScript" into the right-hand window.

4. Where it says (* Your script goes here *), replace that text with the following code:

   tell application "Terminal"
       activate
       do script with command "JMeter"
   end tell
   

5. File > Save and enter a name, and choose where to save the application.
6. Double-click on the newly created application.

Short answer:

do shell script "/your/script/path/shellscript.sh"

Use this snippet in an AppleScript, then save it as an application.

Here are the commands to create a minimum version of the app which runs top command:

APP=Foo
mkdir -vp ${APP}.app/Contents/MacOS ${APP}.app/Contents/Resources # Create the folders.
PATH="$PATH:/usr/libexec" # Make sure PlistBuddy is in the PATH.
printf '#!/usr/bin/osascript\ntell application "Terminal"\n\tactivate\n\tdo script "top"\nend tell\n' > ${APP}.app/Contents/MacOS/${APP}
chmod +x ${APP}.app/Contents/MacOS/${APP} # Sets the executable flag.
PlistBuddy ${APP}.app/Contents/Info.plist -c "add CFBundleDisplayName string ${APP}"
PlistBuddy ${APP}.app/Contents/version.plist -c "add ProjectName string ${APP}"
find ${APP}.app # Verify the files.
open ${APP}.app # Run the app.

^{Note: The above commands should be executed in shell e.g. in Terminal.}

In above code, you can replace top with your shell command.

In case, you're dealing with Windows apps, consider using WineBottler app.