If I'm not wrong, if you're gonna use CMake in your project, you can't use it lightly, you need to include every source file and create several CMakeLists.txt in hlsdk and amxx containing the files manually. I know is annoying to include every file but that's the way CMake works, it's a build script generator more than a build system.
There's something in CMake called globbing which can help you to point out a directory and include every file in it automatically, but it will give you problems when updating your CMake project in real-time and you need to rebuild the project from time to time.