Navigate to the product to be assigned. (Catalog > Manage Products)
Select the Related Products tab on the left side.
Set the "Yes" Dropdown to "Any". This will show you all the product types, regardless if they have been selected as related or not. Type or select in any of the fields in that same row to filter any products you might be looking for.
For example, typing "Newborn" into the "Name" field and then clicking "Search" will bring any products with the word "Newborn" in it.
In this case, I had filtered based on "Attrib. Set. Name" and clicked the checkmark above the "Yes" dropdown to select them all and add them -- this is an example of bulk selecting related products.
To select single products, check the box next to each product.
When your products have been selected, click "Save" in the upper right hand corner.
Selecting a Related Product on one product works vice versa, as well, so you don't have to repeat it for the other product.
In this example "Newborn Nursery Baby Doll" is set as the related product for "Newborn Nursery Baby Doll Cradle". If you navigate to "Newborn Nursery Baby doll" in the store, you'll see the cradle pop up in related products, even though you didn't specifically edit the doll to be related.