I am working on a class library (DLL) project in Visual Studio 2008; programming in C#. In order to test my DLL I just created a second project that is a console application
Are you talking about unit tests? You can use something like nUnit or the built in testing framework that comes with Visual Studio. The simplest tests just require you to add some attributes to your test fixture and make an assertion like obj1 == obj2.
Checking out something like Test-Driven Development (TDD), Domain-Driven Development (DDD) or Behavioral-Driven Development (BDD) may be beneficial. I like to use nUnit with nBehave, myself.
Create a unit test project for the class library by using the right-click "Create Unit Tests" in a class/method in the library. I would recommend downloading TestDriven.NET and using the right-click test runner in it.
You could add a testing project to your current solution, then set that project as the startup project. Then, hitting F5 on your class library project will start your testing project.
Take a look at NUnit or other similar unit testing framework.
The "Team Developer" and "Team Suite" flavors of Visual Studio already have Microsoft's unit testing framework built in.