Tutorial on
How to download and installation of IntelliJ IDEA 10.5 on Ubuntu 11.10 oneiric
How to add application shortcut to the Unity dashboard
[as noted by @geOffrey2 you don't have to create .desktop file yourself]
with IntelliJ IDEA opened
select menu 'Tools'
select 'Create Desktop Entry...'
click 'OK' button
How to create new Java project and run