As promised, I thought I'd report on my experience with the new Shimming wizards that I blogged about earlier.  The wizards are available for download here.
I've been working mainly with Visual Studio 2005 Beta 1 and the 2.0 CLR.  Silly me, I assumed that these would work out of the box with the bleeding edge bits.  Unfortunately they don't.  What they do is install some cool new shimming projects under the Visual C++ tree in Visual Studio 2003.  So I fired up Visual Studio 2003 and started the add-in shimming wizard.  I then pointed it at my add-in that was written using the 2.0 CLR.  It didn't like this--apparently it can only read the metadata out of a 1.0/1.1 assembly.
Fortunately, the install included some sample 1.0/1.1 assemblies, so instead of pointing it at my 2.0 assembly, I pointed it at one of the 1.1 assemblies.  Then it worked like a champ.  I then went through the generated code and replaced the references to the test assembly with references to my assembly--this was a pretty easy search and replace.   There is one spot in the code where you have to figure out the strong name for your assembly, or at least the public key token--this is easily done using ildasm or reflector or some tool like that.
I compiled the resulting shim dll.  Then I added it back to my Visual Studio 2005 solution--actually, I just added it to my setup project and set it to ComSelfReg on install.

To make sure that only the shim is loading as an add-in and not both the shim and your managed add-in, you need to either uninstall your old managed add-in or go to the registry (HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Office\Outlook\Addins if you chose to install for all users, HKEY_CURRENT_USER\Software\Microsoft\Office\Outlook\Addins if you chose to install for the current user only) and remove the registry key created for your non-shimmed add-in.
Another thing that you will want to do is turn off in the project settings in the Compile section the "Register for COM Interop" option.  Otherwise, both your shim and your non shimmed add-in will keep registering themselves in the registry.
I had to verify that everything was loading as I expected--that is that all my stuff was loading in its own appdomain.
To do this, I launched Outlook with my add-in running and without the Visual Studio debugger attached.  Being the rocket scientist type, I fired up cordbg.exe.  To launch mscordbg, launch your .NET Framework SDK Command Prompt from your start menu, programs, Microsoft .NET Framework SDK group.  Then type "cd bin".  Then type cordbg.exe.  I always then type ? to get a list of commands because I can never remember them.  I then typed "attachn Outlook.exe" to attach to Outlook.  Then I typed "ap" to list all the appdomains.  Sure enough, there was my add-in, in its own appdomain rather than in default domain.  You can then type "q" to exit cordbg.exe which will also quit the Outlook process.\
Speaking of Outlook, getting Outlook to shutdown when you write an add-in is pretty hard right now.  If you have outstanding references to Outlook OM objects (which you almost always will) the Outlook add-in doesn't get shutdown because it is waiting for you to release your Outlook OM objects before it shuts you down.  Yeah--it's wierd.  The present recommendations that I see to get around this is to listen to Explorer and Inspector close events and when you detect that all the Explorer and Inspectors have closed down, you release all your COM objects (just set all your COM objects you've held on to to null or nothing, you may also force a GC.Collect() GC.WaitForPendingFinalizers()).   Then, you get OnDisconnection called because Outlook is happy that you've released all your Outlook OM objects.  The problem is, you really shouldn't have to worry about this!  You don't have to in VSTO because we unload the appdomain thereby cleaning up any references you may have had.
It would be cool if someone wrote a modified add-in shim for Outlook that listened to these Explorer and Inspector close events--ideally, this would just be built into the existing C++ based shim wrapper.  When the last Explorer or Inspector closes, it could call OnDisconnection on the managed add-in's implementation of IDTExtensibility2.  The managed add-in wouldn't have to do the silly setting of all COM objects to null because after OnDisconnection is called by on the managed add-in by the shim, the shim would then unload the appdomain of the add-in--thereby making Outlook happy because all the outstanding references used by the add-in would be cleaned up.  Then, Outlook would call the OnDisconnection implementation provided by the shim.  The shim would just return immediately from this because it has already unloaded the actual managed add-in.  This would theoretically fix the nightmare that is Outlook add-in development right now when it comes to getting the silly things to shut down.