I felt the code was a little long to post here, but I posted an answer at my blog:
http://www.brianschmitt.com/2010/08/converting-concatenated-string-into.html
-- EDIT --
Per comment here is the relevant Macro - not sure why you cannot access...
Public Sub ConvertToStringFormat()
DTE.UndoContext.Open("ConvertToStringFormat")
Dim textSelection As TextSelection = DTE.ActiveDocument.Selection
Dim output As String = "string.Format(""{0}"", {1})"
Dim delimt As String = ", "
Dim fmtdTostring As String = ".tostring("""
Dim txtSelection As String() = System.Text.RegularExpressions.Regex.Split(textSelection.Text.Trim, "\+\s_[+\n\r\t]|&\s_[+\n\r\t]|\+|&")
Dim hardStrings As String = String.Empty
Dim valueStrings As String = String.Empty
Dim counter As Int16 = 0
For Each str As String In txtSelection
Dim tmpString As String = str.Trim
If tmpString.StartsWith("""") Then
hardStrings &= tmpString.Substring(1, tmpString.Length - 2)
Else
Dim fmt As String = String.Empty
Dim indxToString As Int32 = 0
If tmpString.ToLower.Contains(fmtdTostring) Then
indxToString = tmpString.ToLower.IndexOf(fmtdTostring)
fmt = tmpString.Substring(indxToString + 11, tmpString.Length - tmpString.ToLower.IndexOf(""")", indxToString) - 1)
End If
If fmt <> String.Empty Then
hardStrings &= "{" & counter.ToString & ":" & fmt & "}"
valueStrings &= tmpString.Substring(0, indxToString) & delimt
Else
hardStrings &= "{" & counter.ToString & "}"
valueStrings &= tmpString & delimt
End If
counter += 1
End If
Next
If valueStrings <> String.Empty Then valueStrings = valueStrings.Substring(0, valueStrings.Length - delimt.Length)
textSelection.Text = String.Format(output, hardStrings, valueStrings)
DTE.UndoContext.Close()
End Sub