setup.py
mypkg/
    __init__.py
    gui_app.py
icons/
    add.png
    import.png
config/
    mycfg.json
tests
    __init__.py
    tests.py
...

from setuptools import setup, find_packages
from codecs import open
from cx_Freeze import setup, Executable
import sys

...

setup(
    ...
    packages=find_packages(exclude=('tests', 'docs')),
    executables=[Executable("./mypkg/gui_app.py", base=base)],
    data_files=[('icons', ["./icons/add.png", "./icons/import.png"]),
                ('config', ["./config/mycfg.json"])],
    ...
)

setup(
    ...
    executables=[Executable("./mypkg/gui_app.py", base=base)],
    options={
        'build_exe': {
            'packages': find_packages(exclude=('tests', 'docs')),
            'include_files': ['icons', 'config'],
        }
    }
)

setup(
    ...
    options={'build_exe': {'include_files': ['icons', 'config']}},
)

options={'build_exe': {'include_files': [('icons', 'ico'), 'config']}}

options={'build_exe': {'include_files': [('config/mycfg.json', 'config/othercfg.json')]}}

find_packages(exclude=['tests.*'])

'packages': find_packages(exclude=['tests.*'])