The best solution I have found so far is adding

<ItemGroup>
    <ProjectReference Include="..\CustomBuildStep\CustomBuildStep.csproj" PrivateAssets="all" ReferenceOutputAssembly="false" />
</ItemGroup>

to FinalOutput.csproj, and

find PublishFolder -name "CustomBuildStep*" -print0 | xargs -0 rm

to the build script. It seems like it ought to be possible to put the latter into a post-build or post-publish step of FinalOutput.csproj, but I wasn't able to figure that out.