If you want to create an external (shared) JMS connection, you must select File → New → Other..., expand the CloudConnect item and either click the JMS connection item and then Next, or double-click the JMS Connection item. An Edit JMS connection wizard opens. See Edit JMS Connection Wizard.

When all properties of the connection has been set, you can validate your connection by clicking the Validate connection button.

After clicking Next, you will select the project, its conn subfolder, choose the name for your external JMS connection file, and click Finish.