If you build your project using msbuild then all you need to do is set an environment variable with the same name as your define.
#if OPTION_ONE
// option one code here
#else
// option one not set
#endif
Then from the developer command prompt you can build like so
set OPTION_ONE=true
msbuild YourSolution.sln
If that doesn't work you could add the following to your project file
<DefineConstants Condition="'%(OPTION_ONE)' != ''">OPTION_ONE</DefineConstants>
Edit:
Create a common c# file for definitions the just like you would in c++ with a header.
Create a user file (i.e. MyProject.csproj.user) to include the common cs file. The user file doesn't need to be included in the project. Visual studio will automatically use it if it exists:
<?xml version="1.0" encoding="utf-8"?>
<Project ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003" >
<Compile Include="$(SolutionDir)CommonFile.cs"/>
</Project>
Copy that file to each project directory, changing the file name to match the project.
Or you can just add the common file as a link by adding existing item and click the option arrow next to Add and select Add As Link