Unfotuantely the jmx tools alone are not sufficient to do this task. Not only do you have to load the jars, but for some versions of jboss, you also need to set credentials. The jmx tools have an api set up such that others can contribute extensions to it, and thats what we do in AS Tools / Servertools.
To have jmx load up, you need to install the AS Tools / Servertools, not just jmx tools, and create a server. Once you create your server, the jmx view should get an entry for your server, but it won't expand or log in until you start your server. Once you start your server from the servers view, the jmx view should automatically connect to it and be expandable.
Basically all the gorey details are hidden in the jmx/astools integration plugins and they should do all the work for you. But you are right: using the default connection wizard, you cannot do what you are trying to do.
Hope this helps!