From version 3 onwards, FlashDevelop has native support for Haxe including:
Autocompletion, compiler integration and Haxe templates.
Using custom HXML compilation rather than FD's
You probably want to use your own compile.hxml file, as this will allow you to use more compilation options. In order to achieve this go to project -> properties -> enable "no output". This will completely disable compilation. Then just go to build -> pre-build command line and insert "path\to\haxe\haxe.exe" "path\tohxml\compile.hxml". Click OK. Whenever you compile, test or run, FD will use your hxml file. You can even edit your hxml file within FlashDevelop.