I think Microsoft went a different direction with these wizards. Yes, Microsoft took them away but they replaced them with something even more rebust (depending on how you look at it).
You have several options. Option 1, which you probably have already seen, is to right mouse click on the Stored Procedures tab and select "New Stored Procedure...". This will give you the base template from which to create your stored procedure.
In place of the wizard, Microsoft gave you something really cool, in my opinion. From the View menu, select "Template Explorer". If you have not already seen this, this explorer provides with you countless templates to choose from, offering much more than SQL 2000 did, however they are not "wizard driven".
Basically, they replaced with wizards with templates for "every-day" tasks.
So, did they take a step back? Well, it depends on how you look at it...
Author - Professional SQL Server 2005 XML