Extracting SFX files in Linux
Use unrar
to extract files from RAR SFX archives.
Like this: unrar x filename.sfx
For Linux Ubuntu 12.04 the following works:
$ chmod +x some_file.part1.sfx
$ ./some_file.part1.sfx
In Nautilus (File Browser), rename the .sfx part to .rar, then right-click and extract. Or double-click for more options.