Multiple parts on the schematic, to generate multiple parts in the BOM. If you like, you can attach a [mechanical, no pins] footprint and position it over the main component, so the 3D model looks right and the pick-and-place file agrees.
Set the Description, or a Note or something, on the mechanical parts, so the BOM says where they are to be assembled (e.g., "ATTACH TO J5").
Alternately, create a second-level BOM that lists everything that plugs into the board after soldering. And so on, into the box build, if applicable. Components on this level are beyond board scope, so shouldn't be managed in Altium anyway -- a separate spreadsheet or database or MCAD or whatever system would handle that.
Or make schematics for everything and generate them from Altium, what do I care?
Tim