SQLCLR projects don't seem to provide the "Add reference" menu item, but Power Commands for Visual Studio at http://code.msdn.microsoft.com/PowerCommands provides an easy workaround.
1) Install the power commands.
2) Create another, non-SQLCLR project, and add those references to it. If you already have a project with those references in the solution, skip this & just use it.
3) Right click on each desired reference from #2, and select Copy reference. Go to the references node of your SQLCLR project and select Paste reference.
Note well that you cannot just reference any old DLL; there's a pretty narrow pre-approved list of allowed dlls. See e.g. http://www.sqlskills.com/blogs/bobb/post/New-SQLCLR-approved-assembly-in-SP1.aspx for more on that.
Hope this helps!