Hello,
I think it is a good idea to integrate SFTP accounts with PuTTY:
http://www.chiark.greenend.org.uk/~s.../download.html
What exactly? Add a button to quick-connect using FlashFXP SFTP Account by PuTTY.
We can found this option in WinSCP:
http://winscp.net/eng/docs/lang:pl
Now, we have to use two programs (three including PuTTY) to manage FTP on shared hosting and SFTP on VPS/dedicated server.