In the present build of the application, you cannot link a Opportunity to a Project (or vice versa).

However, you can create a New Project from an existing Opportunity by highlighting an existing Opportunity, and select the following from the Daylite menu bar:

Create -> New Project from Opportunity

You'll be presented with a list of options of what you would like to link to the Project:

-Link Contacts and Organizations
-Link Tasks
-Link Appointments
-Link Notes

Please note that you cannot do this vice versa (Create a New Opportunity from a Project).