I have gone through the common tutorial using the Northwind svc to create an ECT from OData.
My own data that I am trying to access requires authentication to use it. I am able to log into the site directly to access the service. However, from within Visual Studio 2012 I don't know what steps to change to be able to access it and create an ECT with the wizard.
I have access to my SharePoint Online site and am able to add items to the Secure Store if necessary, I just don't know what exactly to add.