I have used R together with SSAS, although not in an integrated way (unfortunately), to add classical statistical testing weight to patterns emphasized by SSAS. The closes thing to an integration was to use the RExcel add-in (http://en.wikipedia.org/wiki/RExcel or http://rcom.univie.ac.at/) on the same instance of Excel which was running the data mining add-ins, typically on top of add-ins output.
bogdan crivat / http://www.bogdancrivat.net/dm
The Visual Studio environment is slightly different from the BIDS SSAS project environment. The BIDS SSAS project is for deploying SSAS solutions only.
The Microsoft visual studio is an integrated development environment (IDE) from Microsoft for developing applications. Its supported languages are mentioned in http://msdn.microsoft.com/en-us/library/bb514232.aspx.
The R home website has a blog which mentions that users of "other" statistical packages (SAS, SPSS, Stata) can transition to R, but it did not mention anything about Visual Studio, so it implies that it is not common/not documented to integrate R with Visual Studio.
Perhaps, this question should be posted to the "R" website since it allows feedback and suggestions.
I both use R as well as SSAS for data mining tasks. R can easily read and write from sql server, which I belive is prefeable to the Excel or C# integration of R. Try to have a look at the following:
I hope it can help you.