How to create csx file in Visual Studio?

I'm using Visual Studio 2015 Update 2. According to csi.exe there are such things as 'C# script files':

Executes script-file.csx if specified

Is there are documentation for this format? How can I create them in Visual Studio?

> csi.exe /?

Microsoft (R) Visual C# Interactive Compiler version 1.2.0.60317
Copyright (C) Microsoft Corporation. All rights reserved.

Usage: csi [option] ... [script-file.csx] [script-argument] ...

Executes script-file.csx if specified, otherwise launches an interactive REPL (Read Eval Print Loop).

Options:
  /help                          Display this usage message (alternative form: /?)
  /i                             Drop to REPL after executing the specified script.
  /r:<file>                      Reference metadata from the specified assembly file (alternative form: /reference)
  /r:<file list>                 Reference metadata from the specified assembly files (alternative form: /reference)
  /lib:<path list>               List of directories where to look for libraries specified by #r directive. 
                                 (alternative forms: /libPath /libPaths)
  /u:<namespace>                 Define global namespace using (alternative forms: /using, /usings, /import, /imports)
  @<file>                        Read response file for more options
  --                             Indicates that the remaining arguments should not be treated as options.

Solution

Frustratingly, it's not possible. Bug reported to Microsoft. Please add your vote. https://visualstudio.uservoice.com/forums/121579-visual-studio-2015/suggestions/7848117-add-scriptcs-csx-intellisense-and-debugging-in-v