That works but doesn't really wrap the tool in a MSBuild friendly way.
I came up with this (which was good enough to get by).
<!-- The Transform File Names... -->
<ItemGroup>
<XsltcTransform Include="Transform1.xslt">
<!-- And the generated .Net Class name. -->
<Class>Transform1Class</Class>
</XsltcTransform>
</ItemGroup>
<Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
<!-- Sadly using $(OutDir) MUST come after the Import of CSharp.targets -->
<PropertyGroup>
<XSLTCOutputDll>$(OutDir)xslts.dll</XSLTCOutputDll>
</PropertyGroup>
<Target Name="FindXSLTC">
<PropertyGroup>
<XSLTC>"$(TargetFrameworkSDKToolsDirectory)xsltc.exe"</XSLTC>
</PropertyGroup>
</Target>
<Target Name="XSLTC" Inputs="@(XsltcTransform)" Outputs="$(XSLTCOutputDll)" DependsOnTargets="FindXSLTC">
<Exec Command="$(XSLTC) /out:"$(XSLTCOutputDll)" @(XsltcTransform -> ' /class:%(Class) %(FullPath) ')" />
</Target>
<Target Name="BeforeResolveReferences" DependsOnTargets="XSLTC">
</Target>
These targets will let you compile multiple transforms into one DLL.
Running XSLTC before "BeforeResolveRefereneces" is necessary so that you can have an assembly reference to the generated DLL.