Actually, it asks you what you want to do when you add a file to a transform using InstallShield, asking "In a new *.cab file", "Uncompressed", etc.
I think this might differ if you're using Tuner, though. Generally anything more advanced will need to be done with InstallShield.
Now, if you're doing this in the *.ism project, it won't prompt you, since how the setup gets built is dependant on the release settings.