I think you can do this by specifying build targets rather than using build events. Try creating an AfterClean target to delete your generated config files, and a BeforeBuild target to create them. Make sure you set up the file dependency for the BeforeBuild target, so msbuild knows it should only run the step if the file isn't present.
I haven't actually tried this, but I beleive msbuild will only run the target if the target files don't exist. When you rebuild, the cleaning process will be invoked, and in turn your AfterClean target.
You can read more about build targets here. The only real downside to using build targets instead of events is that they are not visible anywhere in the VS UI - you will only find them if you inspect the project file.
There may be a more direct solution involving events - have look at the msbuild team blog here.