add -wadinclude
thenameofyourwad without the .wad bit to your hlcsg compile line.
If you have more than one wad file that you want to include, just add another -wadinclude.
Your hlcsg.exe compile line should look something like this, assuming your wad is named
dragon:
hlcsg.exe -wadinclude dragon
Or have a look at these:
Wadinclude forum questions