I have a database project on Visual Studio. When I create an upgrade script. I will need to connect to the database to run the script. However, the connection toolbar doesn't show up as other script. After doing a bit of research and stumble upon this article. It turns out that I need to change the Properties - Advanced - Build Action to "None". Then I close and re-open the file and voila, there is my connection toolbar. On the other hand, if you have issue parsing your script that refers to path such as this one:

IF OBJECT_ID(N'CreateCopyFixerRequest', 'P') IS NOT NULL
BEGIN
 DROP PROCEDURE CreateCopyFixerRequest
END
GO
:r .\..\StoredProcedures\CreateCopyFixerRequest.sql
GO

What you need to do is to right click on the code window - Execution Settings - SQLCMD Mode and that should fix the problem.