Many-to-many relation between custom modules

For example, we want to extend Products example from SDK to have a Categories (the other custom module).
Telerik, please let us know how we can define many-to-many relation between them. You already did it for Dynamic modules (Array of Guids field). But, I'm sure, a lot of people are interested to implement it for custom modules as well.
I have seen many questions about it, but no clear explanation how to do it. Any feedback on this would be greatly appreciated. Thanks, Denis.