Your intuition is correct - you've discovered the great WSP vs WAP debate that has sprung up since the introduction of VS 2005 and particular the return of Web Application Projects to VS 2005 with the release of VS2005 service pack 1.  Most of the core modules are still separate projects and require you to use VS 2003 to modify and re-compile them. As modules are upgraded, many are being converted to the dynamically compiled WSP approach. In the later versions of the DNN Starter Kit you'll find templates for both techniques - the Compiled Module Template for WAP and the "regular" module templates for WSP.

Although I initially missed being able to add a new project to the DNN solution and encapsulating each module as separate project - usually 2 when you included the SqlDataProvider project, I'm gradually coming to like the WSP approach due to its dynamic compilation which usually reduces development time due to not having to rebuild the project each time a change is made.  Most of the modules I write are for my own use on websites I develop so there is no problem including the source code as part of the module package. For those modules which require a separately compiled dll and a module package which does not include source code, I'm finding that I may first code and test the module using dynamic compilation then (cut/paste) the code into a newly created compiled module for eventual distribution.

As far as packaging goes, the "Create Module Package" capability (found under Host-->Module Defintions for your custom module) is a tremendous time-saver.  It was always a pain to write the .dnn manifest file and create the .zip folder by hand.  I also tend to develop/tweek a module's SQL tables and stored proceedures directly in the DNN devopment installation's databaseas I go along - probably not the best approach but it works for me. I also wrote a .Net windows application which uses the Microsoft SMO (Server Management Objects) classes to create the install and un-install scripts for all tables, sprocs, etc. related to the module.