As it often happens being unable to solve the problem I published it on StackOverflow ... and pretty soon after publishing the question I got an idea.
So the answer to my question is:
Put all the dependent jars into one main jar.
It took me some time to find info how can I do that.
To help people I decided to publish detailed instruction here - they are based on Netbeans 7.4.
Following article from http://mavistechchannel.wordpress.com/2010/08/17/how-to-build-a-single-jar-file-with-external-libs/ I created the ant script that build one-jar-app for me.
I could then manually create exe via Launch4J
I then decided that I want more automated task, and I did that, Ant builds exe for me (via Launch4J)
Then I realized that I must do "clean and build" before my automated task (in point 2)/ I decided that I want clean and build to be done automatically before the exe build
Putting all together I am attaching my ant build script consisting of points 1,2,3:
It is required to edit build.xml and put the content found below before "project" end tag
<target name="package-for-launch4j" depends="clean,compile,jar">
<property name="launch4jexe.dir" location="C:\Program Files (x86)\Launch4j" />
<taskdef name="launch4j"
classname="net.sf.launch4j.ant.Launch4jTask"
classpath="${launch4jexe.dir}/launch4j.jar
:${launch4jexe.dir}/lib/xstream.jar" />
<property name="launch4j.jar.name" value="MyAppJarName"/>
<property name="launch4j.dir" value="exe"/>
<property name="launch4j.jar" value="${launch4j.dir}/${launch4j.jar.name}.jar"/>
<echo message="Packaging ${application.title} into a single JAR at ${launch4j.jar}"/>
<delete dir="${launch4j.dir}"/>
<mkdir dir="${launch4j.dir}"/>
<jar destfile="${launch4j.dir}/temp_final.jar" filesetmanifest="skip">
<zipgroupfileset dir="dist" includes="*.jar"/>
<zipgroupfileset dir="dist/lib" includes="*.jar"/>
<manifest>
<attribute name="Main-Class" value="${main.class}"/>
</manifest>
</jar>
<zip destfile="${launch4j.jar}">
<zipfileset src="${launch4j.dir}/temp_final.jar"
excludes="META-INF/*.SF, META-INF/*.DSA, META-INF/*.RSA"/>
</zip>
<delete file="${launch4j.dir}/temp_final.jar"/>
<launch4j configFile="misc/l4j-myapp.xml" />
</target>
then in Netbeans rightclick on the build.xml and choose:
Run Target / Other Targets / package-for-launch4j
exe file is ready in exe folder :-)