put mylib.jar into your ear file - either at the root, or in a sub-directory (I use library/mylib.jar), then modify the manifest file you package with your ejb to include a reference to the utility jar - something like:
Class-Path: library/mylib.jar library/myotherlib.jar
Those library jars will be available to the EJBs, and any classes in the WAR applications also ... but don't forget that the class-loader can only see "up" the tree. So a class in the EJB will be able to find a class in mylib.jar, but a class in mylib.jar won't be able to find a class that is down in one of the other class loaders (such as the web-inf/lib area of the web application).
Hope this helps ...
Thanks for the help. I'll try as soon as I get time.