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Here's what I came up with.

cmake_minimum_required(VERSION 2.8.3)
project(my_package_msgs)

find_package(catkin REQUIRED COMPONENTS rospy)

list(APPEND CMAKE_MODULE_PATH ${PROJECT_SOURCE_DIR}/cmake)
find_package(ProtocolBuffers REQUIRED)

set(proto_dir ${PROJECT_SOURCE_DIR}/proto)
file(GLOB proto_files "${proto_dir}/*.proto")
message(STATUS "Proto Source Dir: ${proto_dir}")
message(STATUS "Proto Source Files: ${proto_files}")

# Set up destination directories
catkin_destinations()
set(proto_gen_cpp_dir ${CATKIN_DEVEL_PREFIX}/${CATKIN_PACKAGE_INCLUDE_DESTINATION})
set(proto_gen_python_dir ${CATKIN_DEVEL_PREFIX}/${CATKIN_PACKAGE_PYTHON_DESTINATION})
file(MAKE_DIRECTORY ${proto_gen_cpp_dir})
file(MAKE_DIRECTORY ${proto_gen_python_dir})
set(protogen_include_dirs ${proto_gen_cpp_dir}/../ ${proto_gen_python_dir})
message(STATUS "Proto Include Dirs: ${protogen_include_dirs}")

catkin_python_setup()

catkin_package(
  INCLUDE_DIRS ${protogen_include_dirs}
  LIBRARIES ${PROJECT_NAME}_proto
)

# Create lists of files to be generated.
set(proto_gen_cpp_files "")
set(proto_gen_python_files "")
foreach(proto_file ${proto_files})
    get_filename_component(proto_name ${proto_file} NAME_WE)
    list(APPEND proto_gen_cpp_files ${proto_gen_cpp_dir}/${proto_name}.pb.h ${proto_gen_cpp_dir}/${proto_name}.pb.cc)
    list(APPEND proto_gen_python_files ${proto_gen_python_dir}/${proto_name}_pb2.py)
endforeach(proto_file ${proto_files})

# Run protoc and generate language-specific headers.
add_custom_command(
    OUTPUT ${proto_gen_cpp_files} ${proto_gen_python_files}
    COMMAND ${PROTOBUF_PROTOC_EXECUTABLE} --proto_path=${proto_dir} --cpp_out=${proto_gen_cpp_dir} --python_out=${proto_gen_python_dir} ${proto_files}
    DEPENDS ${PROTOBUF_PROTOC_EXECUTABLE} ${proto_files}
    WORKING_DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}
)

set_source_files_properties(${proto_gen_cpp_files} PROPERTIES GENERATED TRUE)
set_source_files_properties(${proto_gen_python_files} PROPERTIES GENERATED TRUE)

add_custom_target(${PROJECT_NAME}_generate_headers
    DEPENDS ${proto_gen_cpp_files} ${proto_gen_python_files}
)

# Create proto library for linking.
include_directories(${PROTOBUF_INCLUDE_DIR} ${PROTOBUF_INCLUDE_DIR}/../../)
add_library(${PROJECT_NAME}_proto ${proto_gen_cpp_files})
target_link_libraries(${PROJECT_NAME}_proto ${PROTOBUF_LIBRARY})
add_dependencies(${PROJECT_NAME}_proto ${PROJECT_NAME}_generate_headers)

install(TARGETS ${PROJECT_NAME}_proto
  ARCHIVE DESTINATION ${CATKIN_PACKAGE_LIB_DESTINATION}
  LIBRARY DESTINATION ${CATKIN_PACKAGE_LIB_DESTINATION}
  RUNTIME DESTINATION ${CATKIN_PACKAGE_BIN_DESTINATION}
)

install(DIRECTORY ${proto_gen_cpp_dir}/
  DESTINATION ${CATKIN_PACKAGE_INCLUDE_DESTINATION}
  FILES_MATCHING PATTERN "*.h"
)

install(DIRECTORY ${proto_gen_python_dir}/
  DESTINATION ${CATKIN_PACKAGE_PYTHON_DESTINATION}
  FILES_MATCHING PATTERN "*.py"
)