Full credits to iPhoneZA.co.za for the initial solution, didn't like the need to hit their servers for a shortcut though. Esp. stuff like Airplane mode etc. :)
Update: Does NOT work anymore with iOS 5.1+, Apple removed the url-scheme that was used!
1) Choose the Settings you would like to add to your homescreen below
2) Click on the link and it will load to make sure it is working
3) Open Safari back up and click "Add To Home Screen" and wait for the icon image to load
4) Click back and repeat from step 1!
// JP Deckers