There is a better way. I just needed to add some local project references before adding the NuGet package reference.
When I originally added the Microsoft.Owin NuGet reference to MyLib, I had not yet added a MyLib reference to MyApp (aka the EXE project). With the MyLib reference in MyApp, I uninstalled the Microsoft.Owin NuGet package, then added Microsoft.Owin back to MyLib. Bada-bing-bada-boom. The bindingRedirect was automagically added to MyApp's app.config file.
So, when creating a new Class Library, one should apparently add new-library references to existing projects before adding NuGet package references to the new library.