It's not "a lot of work", there are just 3 options to set in your project settings. It's done in 30 seconds. And even if you create a lot of projects, it's not 10 new projects everyday, is it?
But anyway, you can do what you do with Allegro, and copy the files directly to the VS folder. It will work the same. This solution is not recommended because it's not clean and convenient in the long term, but it works.
A cleaner compromise is to leave SFML where it is and add the search paths to the global options of VS, instead of each project. However it's not as easy as in VS 2008 (global options have been removed), you may have to search a little bit to find how it do it with VS 2010.