Thunar
… and whilst we're mentioning Dolphin, how about an Open/Edit As Root option. I find it tedious
 to go to a command line when I need to edit something (xorg.conf for instance) or when
 drag 'n drop is all you should need to copy something. I understand the security benefits of
 restricted privileges, but open terminal → sudo this that and the other; pain in the proverbial.
 Obviously Open/Edit as root will open a password prompt allowing only the admin to do, well, admin stuff.
  What you want is to install a desktop entry file with the command prefixed by gksudo or the like.
  Copy the original desktop entry file from /usr/share/applications to ~/.local/share/applications
  and edit it. Don't forget to change the name to “<Application> as root”.
  Repeat this task for each application that you are used to run as root.

sudo only run on console
if you want a graphical sudo the option are gksu
install gksu and change sudo for gksu and tell we

Look at .desktop files syntax in /usr/share/applications , create a new one for your command
 ( gksudo thunar )
You don't need to edit menu, xfce will automatically add new .desktop files
 (xfce looks at Categories in .desktop file to put item in the right submenu)

Adding a contextual menu item to open as root:
1. Open a terminal and type sudo su
2. Then type the following:

       gedit .gnome2/nautilus-scripts/Open\ as\ root

3. Now add the following to the open document and save the file:

        for uri in $NAUTILUS_SCRIPT_SELECTED_URIS; do
        gksudo "gnome-open $uri" &
        done

4. Back at the terminal, type:

        sudo chmod +x .gnome2/nautilus-scripts/Open\ as\ root

All set, now when you want to open a file as root, simply right click the file and select
 Scripts-> Open as root
Note: You may need to restart to see the changes!