The main problem is where do you put the new files? Where in the file system do you put them? Which project and folder in the IDE do you put the files into?
It is common in C++ to put the cpp and header files in different directories, which complicates matters further.
I would as a starting point create them in the same place as the current file. With C++ and msdev we now just rely on the project level 'filters' that look like files to separate headers from source.
Consider adding a couple of configuration options that will expand environment and VS variables.