I really find it awkward especially in case you have your files under version control. Luckily, I've just found a simple solution how you can share your source code between two or more projects without copying the files. At least for C# it works just perfectly. Furthermore, no 3rd party software is required!
You still choose Add Existing Item, then in the File Open dialog box you select your file and press the small arrow on the Add button. You should choose the Add As Link menu item:
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Then the your file reference should be displayed as an icon with a shortcut arrow in the solution tree:

Cheers,
Kirill