See http://vuejs.org/guide/application.html#Single_File_Componen.... While it is certainly not JSX, Evan has written a Webpack loader, Browserify transform, and even a Sublime syntax highlighter to let you write JS, CSS, and HTML for a component in a single file.

I personally like this approach as it lets me mix and match my favorite languages (Coffeescript, SASS, etc), and it makes plugging Vue into existing code a straightforward process.