As is usual in these things, I found the answer within minutes of posting the question. In order to assist others in the same situation, add this to the application.xml:
<module> <java>name_of.wsr</java> </module>
You can also put the .wsr file into the .jar file, that contains the EJBs. That works fine.
The ..jar file can be integrated in a .ear file as EJB module.
I am using this with JBoss 3.2.3 and 3.2.5.