Heliconius butterflies represent a recent radiation of species, in which wing pattern divergence has been implicated in speciation. Several loci that control wing pattern phenotypes have been mapped and two were identified through sequencing. These same gene regions play a role in adaptation across the whole Heliconius radiation. Previous studies of population genetic patterns at these regions have sequenced small amplicons. Here, we use targeted next-generation sequence capture to survey patterns of divergence across these entire regions in divergent geographical races and species of Heliconius. This technique was successful both within and between species for obtaining high coverage of almost all coding regions and sufficient coverage of non-coding regions to perform population genetic analyses. We find major peaks of elevated population differentiation between races across hybrid zones, which indicate regions under strong divergent selection. These 'islands' of divergence appear to be more extensive between closely related species, but there is less clear evidence for such islands between more distantly related species at two further points along the 'speciation continuum'. We also sequence fosmid clones across these regions in different Heliconius melpomene races. We find no major structural rearrangements but many relatively large (greater than 1 kb) insertion/deletion events (including gain/loss of transposable elements) that are variable between races.