It is really quite easy, once you know how. I have had to do the same thing for Selenium, because the plug-in for Selenium is not able to keep pace with the rate at which the library has been changing.
I download the source code and the jar file. I then create a project (Java -> Using existing sources) using the downloaded sources. Using that I also generate the Javadoc for the library, although you could just skip doing the project and Javadoc step if you can provide a URL for it, but you should still download the sources for the library.
Now you want to create the library using Tools --> Libraries from the menus. Click on the "New Library..." button in the lower left side and name your library. The default type of Class Library is fine and I suggest including any version info in the library name. Click the OK button any you now have a new library, but with nothing in it...
With that library selected you need to populate entries for the three tabs. The Classpath tab if where you point it to the jar file. The Sources tab is for the root directory or directories where you downloaded the source files. The Javadoc tab can be a jar file, a root directory, or a URL for where it will find the start of the Javadoc information.
By supplying info for all three tabs you not only get the Javadoc info to help when using the class while editing in the IDE, you can also step through into the various methods while debugging, use the Navigate --> Source while editing or debugging from the right-click menu in the IDE, etc.
You will note that I did not say you should build your own library from the sources you download. The reason for that is that my experience with Selenium has shown that what you build is not always what you get in the jar file. While my versions of Selenium build with no errors (except I still can't fix some definition issues in the unit test part of the code), when I try and run it I get exceptions I don't get with the released version. It is certainly worth trying to build your own version and seeing if it works as well as the released one. If it does then you know you can make changes to it to add features or fix bugs, but be aware that your version may not build the same way as theirs, due to different jar versions you use or who knows what.