The heat Fragment should have a ComponentGroup with all of the generated Components in it (if not, try adding the -cg switch to heat).
Then use a ComponentGroupRef instead of a ComponentRef under the Feature you want everything installed.
Finally, compile all your .wxs files (including the one from heat.exe) then add all the resultant .wixobj files to your light.exe command-line. The error you list usually occurs because you forgot to add a .wixobj or .wixlib to the command-line.