To build the project select "Build All" from the
"Project" menu.
The console should update and you can note the
cross-compiler you are using (i.e.
i586-poky-linux-gcc
in this example).
Select the project.
Select "Folder" from the "File -> New" menu.
In the "New Folder" Dialog, click the "Advanced" button and then activate "Link to alternate location (linked folder)" button.
Click "Browse" to navigate to the include folder inside the same sysroot location selected in the Yocto Project configuration preferences.
Click "Finish" to save the linked folder.