First, this isn't officially supported.
The answer you link to for LINQ to SQL is just using the ability of the DB server to do heterogeneous queries. I don't see why that wouldn't work for the Entity Framework, also, as it's a DB server feature, not a feature of either framework. In other words, LINQ to SQL is still dealing with the connection as if only one database server were involved. Bear in mind, however, that not all DB servers can do this.
As far as what to change in the EDMX, look for the Schema attribute of the EntitySet node in the "SSDL content" section.
One caveat about this technique is that when you update your model from the database, the storage model is wiped out and replaced from scratch. So you would need to reapply these changes. This is not an issue in LINQ to SQL, because LINQ to SQL does not support automated updates from the database at all.
A better alternative would probably be to create a VIEW in the database which referenced the other database and map that view instead of mapping the table and the other database directly.