well I couldn't get it to work. 

I put some XSL files with XSL:INCLUDE tags in them on my server but WinHTTrack
would only get the first XSL file and only if I specified it in the URL:   

<http://ServerName/RPCExport.xsl>

it saved it with a .xml file extension.

I also tried wGET...

wget -r -PServerName --follow-tags=xsl -A .xsl -oXSLLog.txt -l1
<http://ServerName/RPCExport.xsl>

--19:55:30--  <http://ServerName/RPCExport.xsl>
           => `ServerName/ServerName/RPCExport.xsl'
Resolving ServerName... 199.999.1.99
Connecting to ServerName|199.999.1.99|:80... connected.
HTTP request sent, awaiting response... 200 OK
Length: 8,938 (8.7K) [text/xml]

    0K ........                                              100%  956.38
KB/s

19:55:33 (956.38 KB/s) - `ServerName/ServerName/RPCExport.xsl' saved
[8938/8938]


FINISHED --19:55:33--
Downloaded: 8,938 bytes in 1 files

and it only found 1 file and I had to specify that in the URL.

I tried --follow-tags=xsl:include also, but nada.

You might have to build your own list of XML files and other types of hrefs
that are inside "foreign tags" and then have it find those separately, though
I'm not sure.