I do too. I also tend to find that once I have a module for a particular record type, I eventually find enough other things to put in it, like instance declarations, that it's not a hardship to have a separate file.
Yes, it's not a hardship, but it does raise the threshold for doing the Right Thing. Quite unnecessarily in my humble opinion, since OCaml provides an example of how to add this feature to the language without colliding with any of Haskell established concepts. (I don't know about collision with the existing syntax, but you'd enable the modules like any other extention with a pragma.)
Do you know whether Template Haskell could be contorted to provide a syntax?