I find using the eagle command line to be the easiest way
1) place your parts where you want them
2) type net 'mynetname' - you can just type this on the eagle screen, doesn't matter what tool you're using or anything, eagle will switch to the net tool automagically
3) start a few ticks off the pin your want to connect to and click, now draw your signal line to the pin, clicking again when you get there.
4) now press the up arrow, or type the net 'mynetname' command again, eagle will switch to the net tool
5) repeat step 3 for the second part
6) now go into the eagle libraries and find the labels or callout library (cant remember off hand), and put 'em in the schematic, or just use eagle's label tool
alternately, you can do it all through the gui
1) click on the net tool and draw a signal line on your first object - double click to terminate the signal line without connecting it to anything
2) click on the name tool and then click on the signal you just drew, give it some same
3) now draw another signal line using the net tool for your second object
4) repeat step 2 for the line just drawn - eagle will prompt you, something like "connect signal n$1 to mynetname?" ... answer it yes and you're done.
this is easier to visualize if you can fit both the schematic editor and the board editor on the screen at the same time - then you can see eagle place air wires between parts as you define the signals on the schematic