how to step into code from jars (non JDK) using IntelliJ?

You can attach source code to the library configuration. In the Project Structure dialog where you define which JARs make up which libraries, there is an "Attach Sources..." button that allows you to specify one or more source JARs, ZIPs or directories.

If you are in a maven project right-click pom.xml and download sources and/or documentation

After that you'd be able to see the links into file->project structure->libraries->

There is another way.If you are in code editor and you are using classes of particular jar, you can CTRL+click on a particular class or method. It will navigate you to compiled code. There will be a tab on top with link "Attach Sources..". There you can specify source.