Heimdall firmware package of cyanogemmod How I can get a Heimdall firmware package of CyanogenMod?

For example, I want get this firmware, convert it to Odin images, and package and flash it with Heimdall.

Is it possible?
Why?  It's general safest to Odin to stock (if necessary), root and flash ClockworkMOD, and then flash CyanogenMod through recovery.

That said, yes it's possible; you'd need to unpack and repack the images in the correct format and bundle them in a .tar laid out as Odin/Heimdall expects.  Something similar to this in reverse.  I have not had any luck myself with interpreting the image format used by Samsung; any tools I've found don't quite seem to work.  It depends on your particular device however.

Edit: It seems we're still talking at cross purposes.  In addition to the Odin tarfiles, Heimdall can flash slightly different compressed tarfiles and the post you linked links to instructions on how to have Heimdall create those.  However the main problem is still getting the images into the correct format, everything is easy after that.

That CyanogenMod package contains the /system partition contents in just a plain folder; you'd need to package them into a factoryfs.rfs.  I know one of the ways this has been done before is via flashing the package via ClockworkMOD and then using dd to dump the partition(s) to a file.  There are general guides to that here and here.

On the other hand CyanogenMod might be sticking with Ext4 filesystems for Samsung devices rather than RFS, in which case it would be easier to create an image directly from the files.  However, I'm not sure whether Heimdall would be able to flash an Ext4 image properly.  I would probably ask the Heimdall developer in that case.