Using VS 2010:
Let's say you have a Windows.Forms project. You add a UserControl (say MyControl) to the project, and design it all up. Now you want to add it to your toolbox.
As soon as the project is successfully built once, it will appear in your Framework Components. Right click the Toolbox to get the context menu, select "Choose Items...", and browse to the name of your control (MyControl) under the ".NET Framework Components" tab.
Advantage over using dlls: you can edit the controls in the same project as your form, and the form will build with the new controls. However, the control will only be avilable to this project.
Note: If the control has build errors, resolve them before moving on to the containing forms, or the designer has a heart attack.