This is supported in RTM VS2012 using the latest WebEssentials 2012 extension (released yesterday with the neat TypeScript double windows editor)
EDIT:
WebEssential2012 Version 3.0 was devoid of any TypeScript features , as it conflicts with the latest enhancements to the official TypeScript Visual Studio plugin.
Now compilation with saving is supported by the plugin with TypeScript v0.8.2 , and if you are editing a project file: https://typescript.codeplex.com/wikipage?title=Compile-on-Save
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