Add Skyrim.ESM, Dawnguard.ESM... you don't set them as active. Make your mod, then save it. Done.
I would probably put Update.ESM on there as well, since I believe that is the file that gets the official patches that fix things in Skyrim and possibly even Dawnguard. I've read it may not always be necessary to include Update.ESM depending on what you're doing, it's just something that's a good idea just in case. If you were to use Update.ESM in addition to Skyrim.ESM and Dawnguard.ESM, you would have to add the line "bAllowMultipleMasterLoads=1" under the [General] section in the SkyrimEditor .ini file, like this:
Spoiler
[General]
bUseVersionControl=0
bUseMyGamesDirectory=0
SLocalSavePath=Saves\
SLocalMasterPath=Data\
SLocalBackupPath=Data\CheckInBackup
uiFaceGenMaxEGTDataSize=67108864
uiFaceGenMaxEGMDataSize=67108864
bUseEyeEnvMapping=1
bFixFaceNormals=0
bUseFaceGenHeads=1
bFaceMipMaps=1
bExternalLODDataFiles=1
bOnlyActiveFileForRefFix=1
bForceCheckOutOnRefFix=0
bFixPersistenceOnRefInit=0
bFixBadLocRefsOnInit=0
iCheckCellRegionsOnInit=0
bCheckDoorCollisionOnInit=0
bWarnOnGameSettingLoad=0
bFaceGenTexturing=1
bCheckHairOnInit=0
bKeepHeadOnRaceChange=0
bCreateShaderPackage=0
uGridDistantTreeRangeCity=4
uGridDistantCountCity=4
uGridDistantTreeRange=15
uGridDistantCount=25
uGridsToLoad=5
bAnimationUseBlendFromPose=0
fAnimationDefaultBlend=0.2000
fAnimationMult=1.0000
iCheckOutOnBoundChange=2
bFixAIPackagesOnLoad=0
bKeepPluginWhenMerging=0
bLoadTheUserPlugin=0
bCreate Maps Enable=0
bDisableDuplicateReferenceCheck=1
bCheckForMultiFileForms=1
bCheckForRefCellChanges=0
bTintMipMaps=0
uExterior Cell Buffer=36
uInterior Cell Buffer=3
bPreemptivelyUnloadCells=0
SFaceTestSoundName=Data\Sound\Voice\Test\CharGen QA1.wav
iTextColorRegionFormB=160
iTextColorRegionFormG=160
iTextColorRegionFormR=160
iTextColorLockedChildFormB=0
iTextColorLockedChildFormG=255
iTextColorLockedChildFormR=255
iTextColorLockedFormB=0
iTextColorLockedFormG=0
iTextColorLockedFormR=255
iTextColorMyFormB=0
iTextColorMyFormG=120
iTextColorMyFormR=0
bClearPersistenceOnVCSort=0
bAllowNonGroupedVersionControl=0
iFullSaveCellThreshhold=20
iNPCCheckOutCount=500
iLandCheckOutCount=1024
fPathGridAutoConnectRadius=512.0000
SFile Path=
bLight Radius=0
bMaximize Editor=0
bPreview=0
bAllowUnsafeSave=0
bAllowMultipleEditors=0
bSkipValidateForms=1
bAllowMultipleMasterLoads=1
Here the line is in green for the convenience of finding where the line should be placed. Not sure if there's any issues with using these three ESMs together or not, however. I haven't tested it yet myself, but I wouldn't think there'd be any issues, though, since I've already seen mods that use more than three ESMs.