Full details are on this Crunchbang wiki, but the gist of it is to install xfdesktop4, though you launch it as xfdesktop without the 4. Then check your ~/.config/user-dirs.dirs file and make sure it points the desktop directory to your ~/Desktop folder like this:
Then after you launch, you get this. What do you think?
A few notes. First, the new desktop will take over the right and middle-click menus in Openbox, but xfdesktop's right-click menu includes an applications menu, and middle-click brings down a similar workspace menu. You can still access both Openbox menus by clicking on tint2 if you have that installed (check the above link for the configuration). Also, xfdesktop will display your wallpaper, so using Nitrogen or feh for that is redundant. To set the wallpaper, right click on the desktop, go to "Desktop Settings..." and click the "+" button to add your own wallpaper. And don't forget to comment out any wallpaper entries when adding
xfdesktop &to your autostart file.
I don't know if this is a bug or a feature, but dragging a file from Thunar to the actual desktop will copy it, not move it. You have to drag it to the Desktop folder shortcut on the side pane to simply move it.
One last thing. Future versions of XFCE will supposedly have all this set up from within Thunar, so installing xfdesktop won't be necessary. Either way, I've found XFCE's desktop icons to be snappy and sleek. Now if I can only get a global menubar.