I have hack this up back in November when writing my first end-user application in newlisp, and now I am convinced in its usefulness. Get link.lsp from util subdirectory, add the following lines to the end of file after ';; eof' comment, and save it as lisp2exe.lsp somewhere in the PATH.
(unless (and (member (length (main-args)) '(3 4))
(ends-with (main-args 0) "newlisp.exe" nil)
(ends-with (main-args 1) "lisp2exe.lsp" nil)
(ends-with (main-args 2) ".lsp" nil))
(begin (println "Usage: lisp2exe file.lsp [file.exe]") (exit)))
(map set '(interpreter script lispfile exefile) (main-args))
(unless exefile
(setq exefile (replace {.lsp$} (begin lispfile) ".exe" 1)))
(link interpreter exefile lispfile)
(exit)
Oh, just forgot: you must make the .lsp extension executable (unless you already have this done).