With Atmel Visual Studio + VIsual Micro.. Teensy's that are plugged in appear as COM port numbers in the drop-down choices of the visual Micro toolbar. That toolbar presumably is there in your system... it's where the choices of target boards are listed (Teensy vs. an Arduino board).
I simply choose the right target (teensy 3.0, 3.1), hit F7 to build, then choose the right COM port from that toolbar and click download.
Nothing special to setup for each project.
You do have to have a proper boards.txt file for Teensy, in the Teensy folder tree (not the Arduino tree), and that file needs to have the teensy specific options edited in. Here are the options I have in mine, for Teensy 3.1.
teensy31.build.option1=-mthumb
teensy31.build.option2=-nostdlib
teensy31.build.option3=-D__MK20DX256__
teensy31.build.option4=-DTEENSYDUINO=118
teensy31.build.option5=-DF_CPU=96000000
teensy31.build.option6=-DUSB_SERIAL
teensy31.build.option7=-DLAYOUT_US_ENGLISH
The visual micro installation instructions are good, and the user forum for it is great, esp. the author (Tim) who responds for help immediately (he's in the UK time zone).