Visual Studio 2008 comes already with a project template for this purpose. In this example I will show you how to create an empty project.
1. Open Visual Studio 2008
2. Click File / New Project
3. Click on Visual Basic or C# / then on “Database” / then at the right pane on “SQL Server Project”
4. Type a name for your project and click “OK”
5. Choose or add a database connection reference
6. Done. There you got your new project.
To create objects in your project, right click on the project / select “Add” / click on the object type you want to create, for example, “Stored Procedure”
For more information on the object types you can create, see my SQL CLR post.