How can I add this WPF control into my WinForm?

If you want to be able to set the hosted content at design time the control needs to be part of your solution. One way to achieve that is to create a custom WPF user control which contains the AvalonEdit component you want to use. I.e

1. Create a WPF User Control library project and create a user control containing the AvalonEdit component.

2. Add the User control project to your Winforms solution.

Now you should be able to select your new user control as the hosted content.

Or you could add the AvalonEdit control directly in code like this:

public Form1()
{
  InitializeComponent();

  ElementHost host= new ElementHost();
  host.Size = new Size(200, 100);
  host.Location = new Point(100,100);

  AvalonEditControl edit = new AvalonEditControl();
  host.Child = edit;

  this.Controls.Add(host);
}

Not sure what the control is called so replace the AvalonEditControl as appropriate.

You'll want an example on how to do Code Colouring/Syntax Highlighting as well:

public Form1()
{
    InitializeComponent();
    ICSharpCode.AvalonEdit.TextEditor textEditor = new ICSharpCode.AvalonEdit.TextEditor();
    textEditor.ShowLineNumbers = true;
    textEditor.FontFamily = new System.Windows.Media.FontFamily("Consolas");
    textEditor.FontSize = 12.75f;

    string dir = @"C:\Temp\";
    #if DEBUG
    dir = @"C:\Dev\Sandbox\SharpDevelop-master\src\Libraries\AvalonEdit\ICSharpCode.AvalonEdit\Highlighting\Resources\";
    #endif

    if (File.Exists(dir + "CSharp-Mode.xshd"))
    {
      Stream xshd_stream = File.OpenRead(dir + "CSharp-Mode.xshd");
      XmlTextReader xshd_reader = new XmlTextReader(xshd_stream);    
      // Apply the new syntax highlighting definition.
      textEditor.SyntaxHighlighting = ICSharpCode.AvalonEdit.Highlighting.Xshd.HighlightingLoader.Load(xshd_reader, ICSharpCode.AvalonEdit.Highlighting.HighlightingManager.Instance);
      xshd_reader.Close();
      xshd_stream.Close();
    }
    //Host the WPF AvalonEdiot control in a Winform ElementHost control
    ElementHost host = new ElementHost();
    host.Dock = DockStyle.Fill;
    host.Child = textEditor;
    this.Controls.Add(host);
}