<p>When using TFS with a tool outside of Visual Studio (Specifially ORMS), modifications to the project file to include a new file will not cause the file to be added to source control.</p>

<p>Does anything exist that could potentially say "Warning: You are about to check in change to a project file which include a file which is not versioned"</p>

Not quite, however you might want to download the
TFS Power Tools
and check out the command line utility tfpt.exe.
The "tfpt online" and "tfpt treeclean" might be most useful to you when working outside of an integrated TFS client.  tfpt online will look for files in your local directory that are not under version control, treeclean will show you files in your local directory that are not under version control so that you can remove then if they are not required.
Good luck,
Martin.