I thought I saw Heather Solomon blog about how to do this, but I couldn't find it to reference here. Anyway, I wasn't really excited about the way she described, so I tried something else.

The problem is that SPD doesn't want you to customize a publishing page. You can detach it from the page layout, but that's kinda lame.

Try this instead:

1. Make a copy of the page where you want a custom DVWP added.
2. Detach the copy from the page layout
3. Edit that page in SPD.
4. Add and customize a DVWP.
5. You might have to add DVWP to the webpart gallery - go to root admin, web parts, add.
6. Now, export that DVWP which you can do from the browser.
7. Upload it to the webpart gallery
8. Mount it on the page you started with; the one that is still attached to the page layout.

Edit: You can short cut that a bit - after export, just go to the advanced toolpane, and import from there.