I had create a wizard.script for SDL2 which need some dlls file too, I did add this line in the wizard.script's "if (PLATFORM == PLATFORM_MSW)" section, then when building the sdl2 project, CB will call xcopy to copy the .dlls in to the project folder:
project.AddCommandsAfterBuild(_T("XCOPY $(#sdl2)\\bin\\*.dll $(TARGET_OUTPUT_DIR) /D /Y"));
but I dont know how to delete the .dll files when cleaning project.