So I got a working solution.
First the bad part: that isn't possible over the IDE.
You will need to add a new buildtarget.
First in the pro file, myconfig{ DEFINES += MYDEFINE } will add the define in this configuration.
Next thing is to copy the make targets from mk/cs-base.mk (in target/.../include folder).
for example:
Device-Debug-myconfig:arm/Makefile-myconfig //then copypaste of
Device-Debug rule
arm/Makefile-myconfig:/* copy paste arm/Makefile rule*/
add CONFIG+=myconfig ...
Now, you are setup, last thing is to change the make build target of you build configuration to the new Device-Debug-myconfig rule.
Repeat for every build configuration and needed make-target.
Thanks to Elena Laskavaia for pointing me at this solution :)