I am using the Gradle build system bundled with Android Studio. So far, I am able to build multi-project setups using dependencies that are stored in my project structure. I
Seems that current Android Studio version doesn't pick up new dependencies immediately. Try to restart IDE.
Edit:
This is not needed for Android Studio >= 0.1.4v. It has build in action Sync Project with Gradle file. You can find it under Tools > Android > Sync Project with Gradle file or just button in Toolbar.