As far I know this is not supported for asp.net projects. It's quite handy for testing static/shared functions.
Does anybody have any info if this will be available in future versions? Or if there are any alternative ways to test your functions in design mode?
This walkthrough article at MSDN says it does work at design time. I tried running a sample method in a sample console application in VS 2008 SP1 and it works a design time. But it runs application as you press enter first time in Immediate window. Subsequent time it doesn't run the application it just returns value. You can't use if your code has compilation problems.
I think you should just look at the below tools. These might help you.
Snippet Compiler is great for what you are looking.
LINQPad is also good for testing out LINQ code.