Yes, referencing the DLL and adding the 'using' lines are what you are meant to do.
However, the JigLibX Sphere you have — ballSphere — won't be ready to do anything until you initialize it — ie. ballSphere = new Sphere()…
-AND- you won't be able to use it by adding it as a component. The JigLibX system is, itself, the component.
My advice is to go through the tutorials at : http://jiglibx.wikidot.com/tutorials
But really, my advice is to go through some of the more basic C# tutorials, or the more basic tutorials at ZiggyWare or on http://creators.xna.com/
From your questions it feels like you might be lacking some experience with the fundamentals of C#, and might not have done that much with XNA yet — don't jump right in to 3d physics, even if it's just using a library! You'll wind up with a big mess really quick.
My "for real" advice is to make a basic 2d particle system that can do a few different things - exploding, spraying, gravity, etc. Just stick to really basic stuff until you have something you are proud of and fully understand. Make sure you can handle a decent about of particles (say…10,000) and still go 60 frames per second with no hiccups.
After that, make it a 3d particle system - make yourself a cool camera system with input handling so you can fly around and see the scene from wherever.
It might not be all that interesting at first, but working your way through those two projects will really help you out, more so than pulling your hair out trying to get a sphere rendering right away.
Just my two cents - meant in the spirit of being helpful, so please don't take offense!