Would like to add for other Linux beginners like myself that, depending on your distro or desktop environment, you may be able to add Vassal to the equivalent of the Start menu and not have to rely exclusively on the terminal to launch the program.
In Linux Mint Cinnamon edition for example, I was able to do that by right clicking on the start button, then click Configure, then select Menu tab, then click Open The Menu Editor where you will see a list of Applications categories. One can click Games, then New Item, then give it a name like Vassal, browse to and choose the Vassal.sh file in the Command input box, then add a checkmark to Launch in Terminal?, then click the icon on the upper left and browse to and select the Vassal.svg file for the custom icon and then finally click OK to finish.
Now, you will see Vassal with its custom icon in your menu under Games as well as All Applications to make it easy to launch Vassal without the terminal. It’s convenient for keyboard focused use as well since you can just hit the Super key and start to type V-A and the menu selection should come up automatically for easy selection without using a mouse.