I don't really understand why this isn't built in to vs.net.  Delarou's macro makes life alot easier if you want to do any item nesting.

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"This macro enables you to nest project items inside Visual Studio .NET. Until now, there is no easy way to nest project items through the Visual Studio IDE, you can only do it by manipulating the project (.csproj or .vbproj) file and adding the DependentUpon element."