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I ran into this issue with MAME, as it's intended to be started from Terminal - which for most users isn't exactly what they are used to.
To start the executable, you'd normally "cd" to the directory where the binary is (mame64 in this example) and then execute the binary with ./mame64.
Double clicking the file works as well, if it weren't for the fact that the current directory is most likely not the application directory for mame.
So I wrote a little script, it's a text file with the extension ".command", for example "mame64.command":
#!/bin/sh
cd "$(dirname "$0")"
./mame64
Save the text file as "mame64.command", right click the file and choose "Get Info" and set it to "executable" next to the "owner" flag under "Permissions".
Double clicking this file will now change to this directory and execute the binary (mame64 in this example).
