You can add the processing instruction to the result tree using the xsl:processing-instruction element.
I can't quite see where xsl:include and xsl:import come into the picture.
I wouldn't normally do this with the xml-stylesheet PI. You need some kind of application to tie together the multiple transformations, perhaps in Java or in some pipeline language such as Orbeon presentation server, or in Ant or Cocoon, etc; and it's the job of this application to control the pipeline of transformations.
Author, XSLT Programmer's Reference and XPath 2.0 Programmer's Reference