+2  A: 

Vishal Joshi has a post on this: Applying XDT magic to App.Config

There's also a related, though possibly dated, question on StackOverflow here: App.Config Transformation for Visual Studio 2010?

Jim Lamb
A: 

Officially, no.

Off the record, yes. Here's the best blog post I've seen on enabling the transformations for app.config files:

Vishal Joshi's Tangent: Applying XDT magic to App.config

Justin Niessner
+1  A: 

I recently made a post about this, you can find it at:

Visual Studio App.config XML Transformation

It's based on the Vishal Joshi post but removes the requirement to change the build action of the app.config files to Content and also adds support for ClickOnce deployment.

João Angelo