Oh, of course...
Maybe this: Create a new project group (in "Project" menu; should be available, if not, install package LazProjectGroups via "Install/Uninstall packages"). Add all required lpk files to the group. Make sure that the root node of the tree (at the very top) is selected, then click "Compile" - this compiles all packages. Now the IDE should know about these packages, and they should show up in the "New requirement" dialog that I mentioned in the previous post.