I am putting this here for my own future reference. There is a useful set of Visio stencils for SQL Server 2005 at Visio Toolbox. Here is a link to the page that they are on, and a direct link to the .zip file. These stencils appear to have actually been created by Microsoft directly, since the page is on a Microsoft website.
There is also a page on the site that shows how to work with Visio and SQL Server. There are several videos and a couple of downloads.