Yeah, especially in F#, a language that means to interpolate with .Net libraries (most not written with "data input at last" mindset.) now I'm quite surprised that F# doesn't have this feature.
This is essentially how Mathematica does it: the sugar `Foo[x,#,z]&` is semantically the same as `Function[{y}, Foo[x,y,z]]`. The `&` syntax essentially controls what hole belongs where.