I cannot find any way to do it.
I have noticed something:
If I open the file from within MS Project, the Check In... item appears on the File menu and the Document Management... item on the Tools menu is enabled.
This is not the case when I open the file by clicking it in the document library or when I click the Edit in Microsoft Office Project... item on the file's Edit menu in the library.
It should not have been the case. Somebody should have done a better job. :(