Define the preprocessor variable after choosing "All Configurations" and "All Platforms" in the Build tab of the setup project properties.
You can achieve this by adding an element in your .wixproj to a project where you just keep the version number. You'd modify the .wixproj, but only once. And you can probably add this properties file to the .wixproj itself with a reasonable action (None?) so you can modify it from within the IDE.
Something like:
Version.properties
<?xml version="1.0" encoding="utf-8"?>
<Project xmlns="http://schemas.microsoft.com/developer/msbuild/2003" ToolsVersion="4.0">
<PropertyGroup>
<WhateverTheVersionPropertyNameIs>x.x.x.x</WhateverTheVersionPropertyNameIs>
</PropertyGroup>
</Project>
In your .wixproj file you'd add at the end
<Import Project="Version.properties"/>