to do this you have to put this script into engineer.cfg in your tf/cfg folder, and change the Z, X, etc into whatever key or mouse button you want to put it to. this script will then execute every time you change to engineer, and each button will take out the building directly skipping the toolbox. the problem is if you want to use those buttons for another command when playing another class you need to put those binds in the other class specific files. for instance, for spy i use these same buttons for specific disguises and for everything else they're bound to voice commands.
bind Z "build 2 0"
bind X "build 0 0"
bind C "build 1 0"
bind V "build 1 1"
(order is sentry, dispenser, entrance, exit)
scripting Guide
bindable keys