I was looking for this as well. I was just trying to add a name to an association in a UML diagram.

Thanks to a bit of luck and OS X's ability to search help, I found that any shape or text can be made to act as an annotation. To do what you want, I think you would only need to create a connection, then attach some text to it. (You can do this by clicking the text tool, and clicking on the line.) Then set the "Label Location" and "Label Offset" in the Geometry Inspector.

Oh, and just to make this a bit easier to find... I was searching for things like "text" and "connector" and "connection" and "annotation". ;-)

~Mike