I need to generate Source Maps when the TypeScript Compiler is executed from Visual Studio 2012. In Sublime Text 2, I just had to add an extra parameter to the build script.
Mads Kristensen's Web Essentials extension for Visual Studio added support for producing source maps automatically in version 1.3. You need to enable it in in Tools -> Options for Web Essentials. http://visualstudiogallery.msdn.microsoft.com/07d54d12-7133-4e15-becb-6f451ea3bea6
The free Express editions of Visual Studio does not support extensions.