I have encountered the problem and See that MS will not take care of this issue because architectural considerations ...
There is a way to create custom reports using VS 2008 and have them show up in SSMS. It took some digging and a lot of luck but there was a backup file that was created immediately after initial creation of the report.
If I named the report 'MyReport', the file 'MyReport.rdl' exists in the solution directory but there is also a 'MyReport - Backup.rdl' which is created along with it. That RDL works.
To make modifications, you need to know a lot of XML because any changes you would like in the report, need to be edited using and XML editor. (i.e. width of fields)
I could not get any of the widgets to work ever but I only played with it for a few hours and I need to move on to more tasks.
1) Add a new report
2) select your data source
3) Add your query
4) select the report type
5) Add the fields into (page,group, details)
6) Choose your table style
7) name the report
8) click on finish
now look in the directory where the rdl is saved and you will see the backup file.
This is good for single select custom reports.
Hope it helps.