You can right click on the legend in Graph Builder and get a dialog box where you can select direction. From JMP see HELP>BOOKS>ESSENTIAL GRAPHING pages: http://www.jmp.com/support/help/Modify_the_Legend.shtml
Sorry for the delay. I am not sure what you mean about without using legend box. So, if you mean putting the legend horizontal but not on the side 'looking like a legend box' , you can change the preferences for a platform. For Graph Builder: File>Preferences>Platform>Graph Builder then choose Legend Position BOTTOM.
To get this (see legend on bottom)
I set these preferences: