How do you go about delivering an OpenMCL application?
The Clotho project on commonlisp.net appears to no longer exist (Interest may have waned due to progress with the CCL Cocoa IDE).
If you've done so, what would have made it easier ?
The one example of creating a Lisp 'Application' that comes with OpenMCL is in "ccl:examples;cocoa-application.lisp", which creates a double-clickable GUI application.
In practice people often make "applications" by simply passing a few --load and/or --eval arguments on the command line. It's also possible to load application-specific code into a running lisp and then save a memory image via the function CCL:SAVE-APPLICATION (possibly specifying that that application do something other than start a REPL when it's invoked.) In a lot of cases, which general approach is better may depend on how long-lived the application is (it might be harder to debug something built with SAVE-APPLICATION.)
Some people use make to build lisp applications; it's sometimes preferable to use lisp-specific system construction tools (such as DEFSYSTEM and ASDF). A lot of modern freely-available lisp packages (things that one might find on common-lisp.net or via cliki.net) are intended to be built with ASDF; they're typically distributed with .asd files which serve a similar role to Makefiles in C packages.