In SQLyog Schema Designer this is not possible. The documentation says:
“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“. So what is see in the Schema Designer is *what is in the database*.
There also is no option for user to draw his own graphics on top of the 'Layout'. (be it lines, text boxes with comments or whatever). We have discussed this before but we have no plans of implementing such in the foreseeable future.