This is more of a Visual Studio organization method, and yes Visual Studio supports it. Simply remove the projects CMSApp_AppCode and CMSApp_MVC from your solution, and in your CMSApp project add all the hidden files. This method is exactly how the older Kentico projects were setup.
Though I will warn you, your builds will take MUCH longer. The benefit to using the separated projects is that you'll get shorter build times if you're only adding code in CMSApp_AppCode and CMSApp_MVC.