If you create a query through "Server Explorer", you cannot save it. You must copy the SQL to a file and save it.
You can add a sql file to any project, although, however, there is no template for them. Therefore, either create a template yourself, or simply add a text file and change the extension to .sql - you will get syntax highlighting, etc., But you will not get a “visual” constructor, you will have to insert your code into the explorer, a new request: - (
It seems to me that there are quite a few problems with what they tried to do with the database and Visual Studio 2010. The Database project is the way up for most SQL work.