UPDATE/SUMMARY: SLPS_PROTECT Integrated protection as described in KB 12 using Visual Studio 2010 RTM should work out of the box as of Code Protector update 3.0.1908.1027: http://www.inishtech.com/Support/DevNet/Product-Updates/Update-for-Declarative-protect.aspx
Thanks for asking this important question on the forum - we understand how important it is to have timely support for current platforms and tools is and aim to prioritise work on this to the maximum degree possible. It'd also be good if any others who have switched to VS2010 can chime in with quick report of success/failures/anomalies and workarounds (if any).
The exec summary is that it should work though it hasnt had a complete test against the RTM bits of VS.
We have done significant testing against VS2010/.NET 4 Beta 2 and RC releases (there are some KB articles covering .NET 4.0 assemblies too - though they dont address your questions directly), though not against the RTM bits as yet. A number of strengthenings/bugfixes were applied
Can you provide (either here or by email), a copy of the Build output from a Rebuild All please? You may be able to get more details by adjusting Toolls Options Build Detail Level to something higher than minimal.
Can you verify you're defining the conditional compilation consgtant SLPS_PROTECT for the appropriate configurations (perhaps they got lost due to a change of Platform Target, e.g., Mixed Platforms vs Platform Neutral?)
Thanks for your assistance and patience.
 As part of this work, an enhancement to Code Protector (which was first applied in the 3.0.1908.464 release some months ago) to cope with the fact that the 4.0 CLR's JIT does more agressive inlining was implemented.
Another minor inconsistency is that the MSBuild extensions directories move from the "2.0" / "3.5" directory name to "v4.0"
One possibility if you're not seeing any invocation of ProtectCmd or any SLPS output in the build info is that the automatic inclusion of Slps.Protect.targets into your .[cs/vb]proj file. If this is the case, a straightforward workaround is to put an explicit <Import> into the .csproj. However this should not be necessary and we'd like to root cause this with the aim of getting this issue clarified in the very near future. (Worst case we should have a workaround or temporary private build in advance of a normal scheduled release).
Final testing will commence shortly, though the ship vehicle for any resulting changes should they be required (we're hopeful this should not be the case) is not clear at this point.
UPDATE: Shipped now.