You can use the Custom post-build actions in VisualGDB Project Properties to copy files automatically after each build. You can also copy the file manually by using VisualGDB’s built-in SSH client in VS from Tools->SSH Host Manager by opening a console to the Raspberry Pi connection and using the SCP menu there.
Also, if you are using the cross-toolchain, then the executable is already on the Windows machine in the project’s directory.
I can already do it manually but I just wanted an automatic way, I’m using cmake and do not cross compile and the custom-build options do not seem to be visible, unless I am missing something.
Please note that the Custom build actions page in the VisualGDB Project Properties window is only available in the Custom and Ultimate editions of VisualGDB along with the rest of the custom features. This is can be why this page is not shown for you.