You're right that the GUI for Import Module makes a copy instead of importing it in-place. Until that functionality is improved, you'll need to set it up by hand.
In your module being imported, make sure it has a build.gradle file that's properly set up to build the module. Then in your application's settings.gradle file, include it like this:
include ':some_module'
project(':some_module').projectDir = new File('/path/to/module')
Then you can depend on it from another module in the usual way, either by adding a dependency through the Project Structure UI or by adding this to the module:
dependencies {
compile project(':some_module')
}