Draw on top of colorscale

In the Drawing Layers help topic, the Overlay layer is described as:

The top layer is the Overlay layer. It is provided for programmers who wish to add user-interface drawing elements without disturbing graphic elements. It is not included when printing or exporting graphics. This layer was added in Igor Pro 7.00.

The "right" way to get what I think you want is to use user ticks from waves for Axis 2 of the ColorScale annotation object. Here is an example, tested with IP9

make ddd=enoise(5)
display ddd
ModifyGraph zColor(ddd)={ddd,*,*,Terrain256,0}
ColorScale/C/N=text0/F=0/A=MC trace=ddd
make/n=3 csaxis2tick = {-2,0,2}
make/n=3/T csaxis2labels = {"First set", "Second set", "Third set"}
ColorScale/C/N=text0 userTicks2={csaxis2tick,csaxis2labels}

The sample code works fine on Igor 8, but it unfortunately doesn't give quite the effect that I wanted, with a line across the colorscale.  I tried using a second colorscale with a frame around the color boxes, but that ended up being way more complicated than anticipated.  Since it was really only two lines, I ended up adding them in Paint.

Perhaps for Igor 10 there can be another layer in between the Front and the Overlay layers that goes on top of annotations, or a flag when saving pictures to include objects in the Overlay layer.

If you use a color wave with just the right number of colors in it, then you can use a color scale with boxes around the colors. I did one quickly with three colors, and didn't spend much time to make it perfect:

With more effort, you can get the range of numbers and the text labels to line up better.

Here's the experiment file that made that picture.