We’ve been thinking about something along those lines.. Some of the open questions we have are:
1) should this also include context of the running VS? i.e. if I’m running VS RTM don’t show me a SDK for beta 2!
2) Should this just point you to the download page or try to go one step further and download the bits for you? (i.e. download to desktop or temp folder, etc)

Ideally all SDK should be distributed as VSIX and searcheable through the Extension Manager, but we realize that this doesn’t look like will happen anytime soon… so we need to do something! :)

The bits are now available!

More info here:
http://blog.wovs.com/2010/09/keeping-lists-of-frequently-used.html

And don’t forget to vote this suggestion in Connect!
https://connect.microsoft.com/VisualStudio/feedback/details/598047/add-support-for-adding-and-removing-list-libraries-of-references

VS Roaming development is starting on Monday… stay tunned!