You are correct that (if there were a simple way to do this) it would be a nasty security hole. You should never be able to create/install a setuid root executable without going through some admin authorization step. Indeed, you shouldn't even be able to create/install a file with ownership set to any user other than your own.
(Actually, there is an exception to that in 10.9: the App Store will allow you to install apps without admin rights. But that's considered relatively safe because Apple vets the apps before they're allowed in the store.)
The "right" way to do this is with a package installer. It can be set to request admin authorization for the installation, and use that to install files with whatever ownership and permissions you want (including the setuid bit).