Apparently the verbiage I needed to know is "reference".
And the menu to deal with this in VWD is Website > Add Reference... followed by the .NET tab.
Gives me:
<add assembly="System.Web.Entity, Version=4.0.0.0, Culture=neutral, PublicKeyToken=B77A5C561934E089"/>
<add assembly="System.Web.Entity.Design, Version=4.0.0.0, Culture=neutral, PublicKeyToken=B77A5C561934E089"/>
(And just to know, apparently the PublicKeyToken is not any sort of sensitive data.
Helpful info:
Adding assembly reference within web.config
http://en.wikipedia.org/wiki/.NET_assembly )
And, finally, I added the EntityDataSourceExtentions.cs file back into the App_Code folder, and rebuilt the site, and I don't get the compile error anymore. (Funny that I should have to add in a reference to that assembly when I'm already using the datasource in the page successfully. Be blessed if I knew how it was all working.) So while I still don't know if EntityDataSource.Insert() will solve my design problem, I at least got past the initial, obnoxious compile error.