Adding Item with Many-to-Many Relationship In Entity Framework

Use the same context instance for the whole processing of your operation and your life will be much easier:

using (var ctx = new MyContext())
{
    Article article = ctx.Articles.Single(a => a.Id == articleId);
    Tag tag = ctx.Tags.SingleOrDefault(t => t.UrlSlug == tagUrl);
    if (tag == null) 
    {
       tag = new Tag() { ... }
       ctx.Tags.AddObject(tag);
    }

    article.Tags.Add(tag);
    ctx.SaveChanges();
}

If you don't want to load the article from database (that query is redundant if you know that article exists) you can use:

using (var ctx = new MyContext())
{
    Article article = new Article() { Id = articleId };
    ctx.Articles.Attach(article);

    Tag tag = ctx.Tags.SingleOrDefalut(t => t.UrlSlug == tagUrl);
    if (tag == null) 
    {
       tag = new Tag() { ... }
       ctx.Tags.AddObject(tag);
    }

    article.Tags.Add(tag);
    ctx.SaveChanges();
}