I can't find a way to do it by hand, but it's possible with JSL.
Here is one way exanple on how it can be done:
Open( "$ENGLISH_SAMPLE_DATA/Big Class.jmp" );
gb = Graph Builder(
Show Control Panel( 0 ),
Variables( X( :age ), Y( :weight ), Y( :height ) ),
Elements( Position( 1, 1 ), Points( X, Y, ), Smoother( X, Y, ) ),
Elements( Position( 1, 2 ), Points( X, Y, ), Smoother( X, Y, ) )
);
gbr = Report( gb );
legend = gbr[LegendBox( 1 )];
legend << orientation( "horizontal" );
gbr[Outline Box( 1 )] << append( legend );
legend << delete;