I'm assuming you're using VS2010 (that's what you've tagged the question as) I had problems getting them to add automatically to the toolbox as in VS2008/2005. There's actually an option to stop the toolbox auto populating!
Go to Tools > Options > Windows Forms Designer > General
At the bottom of the list you'll find Toolbox > AutoToolboxPopulate which on a fresh install defaults to False. Set it true and then rebuild your solution.
Hey presto they user controls in you solution should be automatically added to the toolbox. You might have to reload the solution as well.