I think this answer is exactly what you need. I know that single link answers are not very appreciated but the answer is kind of long to replicate in here.
You can also use this module creator to create you module (also available on magento connect). It has an UI that let's you create the modules in a similar way with how you create a table using phpMyAdmin. For each entity you create in your module you have the ability to say "Link many to many with products". This will create the the relation table between products and your entity and the second tab in the admin where you can choose products that are associated with your entity. Exactly like the products in the categories or like related products.
I admit that I'm the developer of the extension, but this should not be considered as spam since the extension is free and I get no profit out of it.