You don't need ReSharper, you can step into the core .Net libs from Visual Studio and it will download what's required.
If you want to step into the source code of other projects however, I don't think that scenario is handled yet. Perhaps a feature to be added to NuGet.
Its automatic. If it can't get the source, it will use its built in decompiler, and produce surprisingly readable source anyway (I force it to this mode by default, due to a flaky internet connection).
