C# does not support to do what you want to do, there is only a single step between source files (.cs) and the final assemblies (.dll and .exe).
Have in mind that a C# compiler is in general a lot faster than a C/C++ compiler for the same amount of source code (among other things this is because the C# doesn't have to read megabytes of header files for each source file), so generally compilation speed is not an issue.
If you really want what you can do is to split your work into several assemblies (.dll files), compile each separately, and then just reference those assemblies when building your main executable. However unless your project is really big, you'll spend more time implementing this split than the time you'd save from building less when done.
I'd recommend not to worry about long compile-times unless you actually have a problem with long compile-times.