Miklos,
Your question is really two separate parts. One part is turning your shell script into an application that will run in the GUI... which Platypus may have solved.
The other part of your question relates to "associating" your data file(s) with your GUI application so that double-clicking a data file (document) will launch your app and open the file.
I've never used Playpus so I'm not sure exactly how it wraps a shell script into an application. Platypus apps can apparently handle dragging/dropping of files onto the app but it's not clear from skimming over the documentation page if they will support double-clickable documents. But I assume it probably inserts an Info.plist into the .app bundle it creates. It's this Info.plist that you'll need to look at to try to get your document associations working.
One thing to look for is the CFBundleIdentifier key/value pair. Playtpus may insert a generic value here. You should change it to be something unique (so Finder can differentiate your .app from other apps). Change the value to something like "com.yourName.yourAppName".
You'll may also need to
add a CFBundleDocumentTypes array to the Info.plist. This array describes the document types that the application can open. See the
Property List Key Reference for a description of property list keys and what they mean. Especially look at the section that describes how to set up the CFBundleDocumentTypes array.
Once you've changed your CFBundleIdentifier and set up appropriate document types your app should then show up in the "Open with" list.
But like I said, it's not clear from the online documentation if a Platypus application can properly handle a double-clicked document. If not you may have to try another route.
AppleScript Studio can be used to create "document-based" applications that will recognize double-clicked documents. It would not be too difficult to embed your shell script within an AS Studio app and use AppleScript's "do shell script" to pass the double-clicked document(s) off to your shell script... but you'd have to learn AS Studio. :^\
Steve