I dont think you can do this. Its in the Spec.
I actually read that it was not part of the spec after I posted. I think this would be an important piece if third party beans are to be used by other application writers.
I tend to agree it would be convenient not having to repackage all related entities into a single JAR, and I suggested this to Alex once. However it did not make it very high in his list of priorities (and is probably long forgotten now).
Anyone with the right motivation feel free to provide the patch.
At least the jbosscmp-jdbc.xml would need to be extended to support additional naming convention that allows referring the ejb jar name ('#' convention that's already used in other parts of the spec).
There might have been some other details in the CMP engine needed to support this (I don't recall Alex's original response anymore). You could post it as a RFE to get some hints on how to go about implementing it.