Quote from documentation:
“Whatever you add or change from the Schema Designer will be stored to the database exactly the same way as when you work with the menu's of the program. There is no need to 'upload', 'apply', 'synchronize' the LAYOUT or anything like that. SQLyog Schema Designer is a graphical implementation of direct client functionalities. We work with the database that we are connected to – not with any kind of 'model' internal for the program”
.. and accordingly Foreign Key's are only supported in the Schema Desinger for the engines that support such (InnoDB, PBXT and (the now discontinued) SolidD:cool:.
We have this recorded here alread: http://code.google.com/p/sqlyog/issues/detail?id=1642
.. but no guarantee that we will ever implement it. After all MyISAM is losing importance and also MySQL plan to implement FK's in the server layer for enignes that do not support in the engine layer. If and when this happes we will of course support it.