Make your changes
Compile jme3 project
Go to Tools → Libraries
Press "New Library"
Name it "jme3-modified"
Press "Add Jar/Folder"
Select jMonkeyEngine3.jar
from the dist
dir of the compiled jme3 version
Add the src
folder of the jme3 project in the "sources" tab
Optionally javadoc in the "javadoc" tab
Press "OK"
Right-click your project and select "Properties"
Select "Libraries" to the left
Remove the "jme3" library
Press "Add Library" and select the "jme3-modified" library