If the shortcut points to a document, it is opened directly without you having to find it in your disc structure. The reason I collect my shortcuts into My Documents is because they're always right there in front of you. It sits on the desktop and, if you use Explorer or My Computer, is at the top or bottom of the top-level list. No need to open successive folders to find your folder or document. Save As dialog box.
Shortcuts work just as well as a wormhole in dialog boxes as they do in Explorer.
My Documents is handy on the speed bar on the left. I usually add My Documents to my Favorites list, but forget to use it in older programs. I've told you there are two ways to create shortcuts. This works with folders, documents, or programs. Left dragging an icon in Explorer can have anomalous results.