Hello Jay:
When you create a new project, you have the option to select OSJTAG from the new project wizard:

If you created a project without support for OSJTAG, then you can add a new connection from the debug configurations. In the attached video, the project was created only with P&E Universal Multilink connection, and I cloned the settings to add OSJTAG support.
Hope this is useful!
/Jorge Gonzalez