Intellij Idea 14.1.4 Mac OS X Yosemite 10.10.3 and later.
From the IDE:
Import Project -> (Chosen directory to import) -> Import project from exter
Just to add completness to the above selected answer, one can also go the 'Project Setting' windows (if not on the Welcome screen) in IntelliJ IDEA by clicking:
File > Project Structure (Ctrl + Alt + Shift + S)
And can define Project SDK there!