Ramblings from the Creator of WilsonDotNet.com
That is correct. You cannot manually create an assembly in SQL Server 2005 when logged in with a SQL-only account. This is because these objects need to be secured, and SQL 2005 also allows you to lock down who (or what roles) can create or modify these objects. I wrote an article for VSM that you might be interested in: http://www.ftponline.com/vsm/2004_12/magazine/columns/databasedesign/
Actually, after reading further, it will be possible for hosters to enable this, although its a different issue about whether or not they should or will. The solution is that you can assign a Windows credentials to a Sql login -- so a hoster would need to create a Windows user account with permissions limited correctly to that user's directories and then assign those credentials to the matching Sql login. That's certainly doable, but I still have to believe that most shared hosters will not offer this functionality -- but we'll see. And I'm also still not convinced there's enough reason to allow it when you consider that opening up this door could potentially open up some security holes or hurt performance (maybe not though).