I am using VStudio 2005. I hadn't installed the DLL to the GAC, but I extracted the DLL from the .wsp file (renamed to .zip and extracted).
Right-clicking withing the Toolbox brings up context menu with the item "Choose Items..." on it. Click on it.
A small window with three tabs opened up. On the ".NET Framework Components" tab I chose "Browse..." and selected the DLL. Then I pressed "OK" and voila! Several new workflow activities are listed in the Toolbox.
Hope it helps.