Well, it turns out building an expansion couldn't be easier, the directory I mentioned in the previous post (C:\Program Files\Microsoft Visual Studio 8\VC#\Expansions\1033\Expansions) are a set of XML files. In each of these XML files is a snippet of code inside some XML markup with some tokens (like $this$). These tokens match literal declarations which you can use to provide tooltip information and defaults. The shortcut element is used to define what keyword can be used to trigger the TAB-TAB trick.
Here is my first expansion. I'm almost certain there is more to this file - it looks like quite a bit of functionality could be dug away in here. Interestingly - if you define more than one expansion with the same shortcut you get a drop down list after pressing TAB twice. I could imagine this would be useful for doing "families" of expansions.
Update: The $end$ token seems to be where the editor will put the caret when finished editing. Also, there seems to be a $selected$ token which can be used for inserting your selected text. Nice.