The visual micro tools menu provides the facility to create a new sketch folder, sketch.pde and associated visual studio project/solution files

Click the "New arduino sketch project" on the tools menu to create a new sketch

Entering a name when prompted will save the current solution, create a sketch folder, sketch.pde and all files required for a new arduino visual studio project. If a folder already exists with the same name then a prompt appears and the operation is aborted

The new sketch will be opened in a project and solution of the same name and will include the setup() and loop() methods. If an arduino board is selected prior to creating the sketch then you will simply need to enter some code and click compile.