I've recently started playing Sanitarium. Game I've owned for a whlie, but even though I like the game I've been having trouble with it lagging graphically. I found a solution in the form of a command line argument '-e'. I have tested that running the exe with this option works.

I went to the GOG to set it as a command line option but it seems to have no effect. Am I doing something wrong? Is there any way I can launch this game in GOG w/o making my own shortcut?

Have you tried to edit the "game-xxx.info" file?
Maybe you can try to find the "(...).exe" entry, and change it on the "(...).exe -e".

If it does not work, then you should create a standard windows shortcut and edit its properties.