You don't really need to, there are a number of other options available:
- As Philip suggested you can use an executable jar file. See http://www.ibm.com/developerworks/library/j-jar/index.html
- You can build on top of a framework that already has its own launcher such as Eclipse. See http://wiki.eclipse.org/index.php/Rich_Client_Platform
- You can use a technology such as Java web start to launch your app from a browser. See http://en.wikipedia.org/wiki/Java_Web_Start (or just package your app as an applet)
