Well, first thing is all us VBers are used to doing this a lot. With reason of course. Most of the time, you made a small error(remember VB supports late binding and so you have a higher chance of errors at runtime. Yes late binding is not a good thing, but we do use it in real life...) and it is such a pain having to restart everytime.
It is also my personal experience that when doing some small project/prototype, I tend to write a few lines of code, run it and then keep modifying it to suit the need. This is one of the things I really miss in VS.NET as I do a lot of prototype and sample stuff.