I\'m using HeatDirectory to create source .wxs file. In the pickup directory there is an exe which should be installed as service. Actually I know how to install service if
As an alternative to the method described by @sttaq, what I usually do is filter out the .exe files and manage them manually. You're already filtering your heat output with an xsl file (Filter.xsl), so it should be easy to add a rule to filter out any *.exe file.
And then, in your .wxs file, you can manually author the .exe file component including your service installer, icons, or anything you may need. Just remember to put it inside the right Directory: