We have support for build rules, however the GUI doesn't let you create them (that is a long-standing TODO). You can manually add a build rule to your project file (Place it just before the </Project> or the <CompatibleVersions> at the bottom of the file.
Here is an example, except that I don't have any idea what the command line should be for your tool. You will need to have the ".pyx" files in your project file list.
<Rules Name="Compile">
<Rule
InputExts="*.pyx"
OutputExts="*.cpp"
LinkObject="0">
<Exec CmdLine='"cython" -o "%bd" "%f"'/>
</Rule>
</Rules>