I just wanted to share my CMakeLists.txt, which builds upon richq's script. The *.cpp and *.hpp files now properly depend on the *.lzz files. The *.lzz files are added to the project (which answers absense's question above) but kept separate from the generated files using the source_group command.
The only remaining dealbreaker for me is the inability to compile the current file for *.lzz files.
cmake_minimum_required(VERSION 2.8)
PROJECT(LzzTest)
find_program(LZZ_COMMAND lzz.exe)
# Syntax:
# add_lzz_file(