I feel kind of stupid even posting about this, but upon starting up Eclipse, I started to wonder how I would do that - being that Eclipse works with projects, and I didn't want to put all of my components into an Eclipse workspace, and I didn't want to put up a subversioning system.
Turns out it is quite simple: Right-click somewhere in the package explorer, select 'New', 'Project...'. In the dialog, open the folder 'General' and select 'Project'. Click 'Next'. For the name, I usually put the com_componentname / mod_modulename, as in my file system. But I don't think it matters. Then uncheck the box 'Use default location' and click 'Browse...'. Select your component folder and click 'Finish'. Voila!
Nothing is copied or messed with, you are working on the files in your file system.