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From a user standpoint, you can set up the class project such that when you compile, it produces 1 dll file in which you can refer from other project.
Making Visual Studio project requires additional manual step in the ALGLIB release creation, so I don't think that I'll add something like that. There are exists tools like CMake which can generate Visual Studio project files. But as far as I know CMake doesn't support C# :(
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It would probably need more documentation if you move everything into one single huge source file. Just my humble opinion.
Original poster said about precompiled DLL distributed with ALGLIB source files, but I think that idea of one large .cs file has at least one benefit - it is much more easier to add to user's project. From the other side, alglib.cs will be about 3 Mbytes large. Such big file may be hard to debug or just to study.