How to add an external project to Xcode 4?

In Xcode 4, you're mostly meant to create a new Workspace to which you can add multiple projects. From the main menu: File > New... > New Workspace...

Once you create your new workspace, drag the Xcode project files into the project navigator of the newly-created workspace. Drop the first one anywhere in the project navigator pane but be careful to note the insertion pointer when you drop the second one. Advice: Drop it beneath the entire first project but with your pointer as close to the left edge of the project navigator panel as you can get. This makes sure you're not inserting a project into another project.

In this way, you get all the benefits of a workspace (automatic dependencies, etc.) without changing the structure of the projects themselves. Then you simply open the workspace rather than the individual projects within it.