Como @Ramhound e @DavidPostil já foram mencionados nos comentários, você pode fazê-lo. Por favor, leia procure :
You can put the .cpp and .h files wherever you want. A project file just lists the locations of the source files. Create the .cpp and .h files where you want them, perhaps with Notepad, and then use "Add Existing File" to add them to the project. (Right-click on the project name in Solution Explorer and choose "Add Existing File".)