Sorry no, I don't have the final sollution =), but I think I just might have been close to it.

Basicly I copied rmagick into game-dir\vendor\ and packaged it to a win32-exe with ocra (http://github.com/larsch/ocra/tree/master).

Then to get my game to use the bundled rmagick I did some research.. one sollution seemed to be to compile it staticly but I never got into that.
I tried another path. This is the start of my main.rb-file. dynamic ROOT_PATH detection is needed for ocra since it unpacks a whole ruby-install (and your game to a tmp-dir)

---------------
ROOT_PATH = File.dirname(File.expand_path(__FILE__))
RMAGICK_PATH = File.join(ROOT_PATH, "vendor", "ImageMagick-6.4.8-Q8")
ENV['PATH'] = RMAGICK_PATH + ";" + ENV['PATH']
ENV['MAGICK_HOME'] = RMAGICK_PATH
ENV['PREFIX'] = RMAGICK_PATH
ENV['MAGICK_CONFIGURE_PATH'] = File.join(RMAGICK_PATH, "config")
ENV['MAGICK_CODER_FILTER_PATH'] = File.join(RMAGICK_PATH, "modules", "filters")
ENV['MAGICK_CODER_MODULE_PATH'] = File.join(RMAGICK_PATH, "modules", "coders")
ENV['MAGICK_DEBUG'] = "-debug configure"
----------------

First off I just did MAGICK_HOME which got rid of the very first error (rmagick couldn't be found). I'm trying my deployment out on a fresh vistabox Without a imagemagick/rmagick install.

Another error showed up (sorry I dont remember all errormsgs) but for each line/path added they disaparead one by one.
This is what led me to believe that this approach might actually work.

All those ENVs I learned from http://www.imagemagick.org/script/resources.php

The annoying thing is that in the end after all possible ENV-paths had been set, there was still some very odd error left.. but someone might be able to solve that.. it might have been that I tried out the deployment on a Vistalaptop.. and vista is.. vista with all it's new odd securityfeatures :).

Would be very cool if we got this to work...