Delphi has this handy feature to insert a GUID into source code by pressing CTRL+ALT+G. Visual Studio doesn’t have any comparable feature. I found the following two articles useful instructions on how to create comparable ability in Visual Studio. With the stroke of a single key combination, a new GUID appears in the source code.
The article Quickly Generating GUIDs in Visual Studio 2008 has the full step-by-step rundown. It has a link to Generating GUIDs in the Visual Studio IDE, which contains additional useful information on customizing the format.