As some options has retired from Project 2003 there are still ways to create WBS Diagrams in Project 2007 and Project 2010.
The best solution is to use the Addin Created specially for Visio 2007/2010
You can find them only for English, German, French and Italian Project/Visio Clients. You must have both Clients in the same language in order to make the Add-in work.
Microsoft Office Visio 2007 Professional WBS Modeler
WBS Modeler add-in for Visio 2010