Yes you will need to add them manually to some wxs file OR
you can use a pre-build step that uses heat to harvest these file for you (assuming all these file reside in a seperate directory).
Heat is part of Wix and can harvest an entire directory using the dir switch. Depending on the commandline arguments, it will produce a seperate wxs file containing a single ComponentGroup. Just reference this ComponentGroup from the product.wxs.
For an example on how I currently use heat to harvest my release directory:
heat dir "../../bin/release" -gg -cg CG.ApplicationBinaries -dr INSTALLDIR -scom -sfrag -sreg -srd -var var.BuildOutputDir -o ApplicationBinaries.wxs
This will produce the file ApplicationBinaries.wxs:
<Wix xmlns="http://schemas.microsoft.com/wix/2006/wi">
<Fragment>
<DirectoryRef Id="INSTALLDIR">
<Component Id="cmp53F90D1335DD67504EC2B9E1E8620DD3" Guid="{CA2DF1B5-7B20-4596-84A4-925B4F9BA6EC}">
<File Id="filC65F9CB88694FCA79FCB3CADB9481921" KeyPath="yes" Source="$(var.BuildOutputDir)\AsyncTCPsocket.dll" />
</Component>
....
</DirectoryRef>
</Fragment>
<Fragment>
<ComponentGroup Id="CG.ApplicationBinaries">
<ComponentRef Id="cmp53F90D1335DD67504EC2B9E1E8620DD3" />
...
</ComponentGroup>
</Fragment>
</Wix>