When using TFS with a tool outside of Visual Studio (Specifially ORMS), modifications to the project file to include a new file will not cause the file to be added to source control.
Does anything exist that could potentially say "Warning: You are about to check in change to a project file which include a file which is not versioned"
Not quite, however you might want to download the TFS Power Tools and check out the command line utility tfpt.exe.
The "tfpt online" and "tfpt treeclean" might be most useful to you when working outside of an integrated TFS client. tfpt online will look for files in your local directory that are not under version control, treeclean will show you files in your local directory that are not under version control so that you can remove then if they are not required.
Good luck,
Martin.
In addition to Martin's answer, the latest release of TFS Power Toys includes:
"Windows Shell Extension (NEW!)
Allows core version control operations within Windows Explorer without using Team Explorer."
So you may just be able to commit those new files without having to fire up Team Explorer or use an MSSCCI compliant source control client.
One gotcha I've found using tfpt online is that it doesn't always pick up changes unless you use the /diff switch. That one caused us all kinds of headaches with our automated build until I realised what was happening!