Laterna Magica v0.2 is out! New features are more keyboard short-cuts, JPEG saving and better in-window menus support (NSWindow95Style). The latter feature delayed release another bit of this long-due release, but it works great.
The attached screenshot shows LaternaMagica running on windows using the experimental WinUXTheme which draws several controls native including in-window menus. Note how the menu is attached to the main application window but not to the image window.