I also have this problem. What I usually do is create a new tab and add the exe/dll to that tab... Not too comfortible with that solution because of the load time and general hazzle.
A friend showed me a way to speed this up. Instead of having to click "Choose Items..." in the toolbox,etc, for each new control you make - You can create a file named MyCustomControls and there you can create your custom controls. Now you only have to do the "Choose Items..." and add this file ONCE. If you later on decide to add a new control, create it in MyCustomControls and then rebuild. Then your toolbox will have your new control. (It will be displayed automatically with a regular compile if you have AutoToolboxPopulate I think)
This is unfortunate, because often you want to separate classes into "one class per file". It is horrible that you have to ruin your code architecture just because VS doesn't want to do it your way. :)
I am not too comfortible with this solution either but if you need to do something quick and you don't care about multiple user controls within a file or just are lazy, this might suit you well. :)