Starting from Freescale MQX 3.8, there is an easy way with the .wsd file. The actual release version due Oct/2012 is Freescale MQX 3.8.1. The way I usually build MQX 3.8.1 library files in CW 10.2 is described below:
1. I find the .wsd file for my board in the Freescale MQX config directory. For example, for m52235evb that would be:
"c:\Freescale\Freescale MQX 3.8\config\m52235evb\cw10\m52235evb.wsd"
2. I drag and drop this .wsd file into CodeWarrior MCU 10.2 "CodeWarrior Projects" window.
At this point, the Eclipse opens all projects specified by the .wsd file: psp, bsp, mfs, rtcs, shell, (and usb host, usb device libraries in case there is USB hardware module on an MCU).

3. now select the Debug or Release build target in the combo box on toolbar and click on the hammer icon.
The build process starts.
The steps are described in the document "FSL MQX Getting Started" that you can find in Documentation folder of your Freescale MQX installation directory, in the chapter 2 Building the MQX Libraries.