Thank you for your question.
An ability to 'import' existing custom Anonymous Apex files (as well SOQL queries) to your TWS project is present in our development backlog, however, this option isn't implemented in the IDE currently.
As a workaround, you can add the 'references' to your Anonymous Apex files in an appropriate *.sfproj file.
For example, if you have the project, which is located by the path D:\Project1 and you want to include Anonymous Apex which is located in another project D:\Project2 under the 'AnonymousApex' folder with the name 'MyUniversalCode.anonymous' - you should modify the .sfproj file in the Project1 and add the following lines there:
Please let us know if this workaround would cover your needs.