Not quite that complicated, but I'm it sure can save you (and myself next time) some time.
To show the attachment paperclip in your CQWP, just add this section to the xsl:template in the ItemStyle.xsl:
<xsl:choose>
<xsl:when test="@Attachments='1' or msxsl:string-compare(string(@Attachments),'Yes','','i')=0 or msxsl:string-compare(string(@Attachments),'N0','','i')=0">
<img src="_layouts/images/attach.gif" border="0" alt="Attachment"></img>
</xsl:when>
<xsl:otherwise>
<!-- message no attachments attached -->
</xsl:otherwise>
</xsl:choose>
Secondly, export the webpart and add the Attachment field to the commonviewfields:
<property name="CommonViewFields" type="string">Attachments,Attachments;</property>