Should I include a grenadier element in each Prussian and Austrian SYW heavy dragoon regiment, or were they brigaded separately? 

Frequently brigaded separately and fielded with the combined Carabiniers as a reserve. From James Woods' book.

Thank you, sir. I shan't trouble with mixed units, then.

Only the Austrians had horse grenadiers, the Prussians did have any.

Putting the previous two posts together, the Austrian Dragoon regiments did have grenadier companies, usually brigaded together with the Carabinier companies from the Cuirassier regiments as and elite. A unit of horse grenadiers would be extremely colourful, as they retained the uniforms of their parent regiment, topped off with a fur cap!  The Prussians did not have any horse grenadiers by the SYW but did start the WAS with a double size regiment of horse grenadiers. A rather spiffy looking unit, with red faced(!) white uniforms and black backed leather caps with a metal plate, rather like the fusilier caps of the infantry. Unfortunately they didn't last long, as when serving as an escort for the King some of them fled from some Austrian Hussars and Frederick was nearly captured. As a result the regiment was disgraced and had its caps and designation taken from it. It was then divided into two separate new Dragoon Regiments.  Bleckwenn records that their caps went on to serve the King a second time as they equipped a newly raised Fusilier Regiment. Waste not want not! 

Have fun,

Mollinary

I have seen pictures of one Prussian horse grenadier, but in the Freikorps.

Sorry  FK, but you are right. I forgot to mention that the Prussian dragoons didn't have horse grenadiers.

Here we go. Ein Preussischer Grenadier zu Ross.

Yes, but it is freikorps - notice how the cap is similar to that worn by the Austrian grenadiers.

Certainly. And I imagine odder quirks of uniform were probably common in the Freikorps.