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If you're using Visual Studio Express to build your console application, then there's no way to do this automatically to my knowledge.

When you build from the command line, the compiler looks by default for a 'response' file called csc.rsp.

This contains a list of dlls, references to which are added automatically to your application unless you specify the compiler switch /noconfig.

The default response file contains System.Windows.Forms.dll amongst others which is why you don't need to add a reference to this particular dll when building a console application from the command line.

Although it's possibly to change this response file for command line builds, unfortunately it can't be used from Visual Studio. See:

http://msdn.microsoft.com/en-us/library/8a1fs1tb.aspx