Sorry to revive an old post, but I found this when searching for the same 
question.  There is the Legend() function -- this blog shows it in 
action http://sveme.org/julia-for-matlab-users-i.html

On Thursday, November 7, 2013 8:34:14 PM UTC-8, Adrian Cuthbertson wrote:
>
> Is there a way to create a color legend in Winston?
>
> That is for say 5 curves in different colors, to show a group of 5 colored 
> squares (say) and the legend text. Preferably next to one of the axis.
>
> Thanks, Adrian. 
>

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