Hi Leifster,
No, we don't support the TOWGS84 parameter nor do we support including a transformation WKT in the prj file/spatial reference information. We're 'late-binding', not 'early-binding'. You only pick a transformation when you need it.
Using the Create Custom Geographic Transformation tool, the definition is persisted for you so you can then use the same transformation in the Project tools, for instance.
Another possibility is the projection engine environment variable, PEOBJEDITHOME, where you can define a coordinate system or transformation, including giving it a WKID. The definitions would have to be set up before starting ArcGIS, and if you do need to define a custom spheroid, it gets a little complicated (you have to define the geogcs, datum, and spheroid separately). If you're interested, send me an email, mkennedy at esri dot com.
Melita