I have a thread over here as well - but I do not get any replies :)
I have created a .zip package with templates, dlls and a .episerverdata file (in /util/setup/).
It seems to do OK as long as I do not include any unmanaged .dlls in /bin.
I would also like to do some modifications to the web.config - change the membership/role provider, add some profile parameters, and add some other configuration settings. Could that be done using the "Install module" feature?