By the way, its the same to other things, what one can let be auto completed , like Annotations or import statements.
In my Eclipse IDE is actually nothing auto completed but common java code.
I found myself how you can let eclipse cerate things automatically:
Just by perssing ctrl + 1 one gets the desired menu and can choose...
I've bound the jboss ejb3.persistence.jar from jboss ejb3 deployer dir into my project, and now its everything ok with annotations.
By choosing the required annotations and pressing ctrl+space I get the auto complete menu, where I can let eclipse insert the import statement automatically.