Since you're tagging C++, you should add classes by the built-in wizard. The wizard creates #pragma once directives. This is even available for other compilers: #pragma once so you don't break plattform cross compatibility.
What you can do, however, is to create a VS macro like this one:
Option Strict Off
Option Explicit Off
Imports System
Public Module HeaderGuard
Sub InsertHeaderGuard()
Dim filename As String = DTE.ActiveDocument.Name
filename = filename.ToUpper().Replace("."c, "_"c)
DTE.ActiveDocument.Selection.Text = "#ifndef " + filename
DTE.ActiveDocument.Selection.NewLine()
DTE.ActiveDocument.Selection.Text = "#define " + filename
DTE.ActiveDocument.Selection.NewLine(2)
DTE.ActiveDocument.Selection.Text = "#endif /* " + filename + " */"
DTE.ActiveDocument.Selection.NewLine()
End Sub
End Module