Q. I used to have to select the 2 entities in EOModeler and do "join in many to many", but I can't find where's that feature in Entity Modeler...

If you select two entities in the entity tree (outline view), you can then click the "New Relationship" action and it will bring up the New Relationship Dialog. I love the new versions of this because it even has an option to add the foreign key attribute for you, too, for non-many-to-many's (though I don't recall what it does if you don't use Project Wonder – it uses prototype 'id' when you have Project Wonder).

In the dialog, you can select which sides (or both) of the relationship are to-many, you can name the relationships, you can optionally have it create a foreign key attribute for one-to-many (single foreign key), or you can select the join attributes.