It sounds like you would be better off using program neighborhood agent rather than the WI. PNA will put icons either on the user's desktop or start menu, and they click them and the program runs from citrix but almost appears to be on their computer.
Take a look here on how to set it up, this is for 4.0 I think but XenApp should be similar.
http://www.msterminalservices.org/articles/Configure-Citrix-Program-Neighborhood-Agent.html