While the code cited by Anonymous at necronet is useful and would be a nice starting off point, it can't match the utility of a native feature.

Basically, the internal data structures have much information needed to code-generate these classes which is not available via MyExtensions.

Things like the primary Key, the foreign keys, field lengths etc.

As a built-in feature, it could also be put of the Database explorer right-click context menu.

Have a look at:
http://www.necronet.org/archive/2012/10/09/generate-c-pocos-from-sql-statement-in-linqpad.aspx