As you probably already know Visual Studio supports a kind of symbolic links, but if you don't here is how: Add existing files and instead of just clicking the Add-button (or is it OK), pull down the little menu behind it and choose "add as link". You'd have one copy, but still need to set up two references/links - so I guess a copy script is easier. :)
I've decided to go with asset names only so far, and then load/set references in runtime. I figure it will work fine if a ever build an editor...I also have looked some into embedding the shared/library content into MyLibrary, so an assembly reference is enough and no project reference is needed. It should be fine since it's a couple of simple shaders, a spritefont, and some small textures. Haven't gotten around to actually implement it yet though.
BTW for embedded shaders I just tried Brandon Bloom's
EffectGenerator and after some minor tweaks it seems to work just fine and as a plus gives typed access to all parameters! I might go with that one, guess I have to decide which way works best at some point... ;)