Click on each XML file in the Solution Explorer and then in the Properties window below (see your screenshot) you click and change "Build Action" to "Copy" and "Copy to Output Directory" to "Copy If Newer". That does the trick for me, at least with ClickOnce...
Go to your Setup project in Visual Studio. In the "File System" tab, locate "Application Folder". Right-click and then click Add | Folder. Name the new folder "Data". Right-click on the new "Data" folder and click Add File, then add the needed XML files. Repeat for as many different folders and/or files as required by your application.
When you compile and run your setup project, the "Data" folder and its contents will be deployed along with the application.