That never seems to work with wine

Wine has nothing to do with double clicking. You can set up your desktop environment to do this if you want. Wine requires environments to run apps (aka wine prefixes), and the way I do it is I reuse one environment as much as I can.

Nowadays, I just reuse the wine prefixes Heroic creates, since it usually installs a good chunk of dependencies. Lazy, but it works and saves disk space.