To my great surprise, it turns out that Expression Blend 3/4 indeed does have support for Source Control Systems (like TFS)!
This is basically set up automatically, if you open a project that has already been bound. Otherwise it is not possible.
How to do:
1) Create the project in VS 2010
2) Bind the project to TFS (“Add Solution to Source Control…”)
3) Check In and Close the project
4) Open the same project (use the solution file (.sln file)) from inside Expression Blend
5) Done – you have integrated support for ‘get latest’ etc. in Expression Blend