Check out Leiningens checkout dependencies functionality.
Basically, you make a symbolic link to the library directory in a subdirectory called 'checkouts' of your current project, and add it to your Leiningen profile. Now that project is loaded too whenever your program is started from Leiningen (REPL, run).
If you are on Windows, instead of making a symbolic link, you need to make the NTFS equivalent of a symbolic link to a directory, called a 'junction point'.
Take care that this does not work if your project isn't actually started through Leiningen (for instance in Eclipse/CounterClockWise). If you run from CounterClockWise, you need to add the library you want as an Eclipse project, then edit the Eclipse project properties of your own project: Under Java Build Path > Projects, add the library project.
Now if you start from the Eclipse REPL, the library will be included to the java class path. However, if you want the project to work when run through Leiningen as well, you also need to use the checkouts functionality.
Of course, whenever you want to make a standalone build of your program, the checkouts way won't work anymore, and you need to include the library as a normal dependency, or include a built version in your uberjar.