I've tried using an include file. It works, but I get some strange error messages.
Looking further, I've found that CW does allow you to use defines. However it's buried in the settings.
Goto Project Settings, Compiler, Language, and then check "preprocessor defines". You can then enter the defines.
IMHO this should be more accessible, but maybe other people don't care for reusing code. We use common source files for multiple projects, so using defines for things like PCB variant, MCU used, etc is VERY handy.
With Cosmic not only can you easily set defines for the project, you can also set defines specific to each source file.