app_code is ok for small size project, all you need to do is put all c# classes into app_code folder, and those c# classes will be compiled into a temporary assembly . but speed is unacceptable.
app_code is a special folder, you can not just create a class and copy into it, you need to do it in VWD. i have compare plain c# class and VWD created c# class, VWD created class added following references:
also visual c# can also be use to create web site, all you need is create c# class library and reference those class library in your web project.
i think using visual c# to create class library then reference the class library is better. leave VWD as a tool for manipulate ASP net controlers.