The current way to do this in drush is "features-export", or "fe". (features-add is deprecated)
drush fe my_existing_feature dependencies:my_new_dependency
A few more tidbits:
The command can also be used to create a new feature, in exactly the same way, containing the component. The only difference is that the feature name doesn't already exist as a feature. For example this would create a new feature containing a node type:
drush fe my_new_feature node:my_node_type
Finally it goes hand-in-hand with the features-components (fc) command. You can see a list of all non-exported components like so:
drush fc --not-exported
As a shortcut you can specify the type of components to look for:
drush fc --not-exported field
You can leave off --not-exported to also see the exported components, but I find in practice I only want to see the non-exported ones. It allows me to go nuts inside Drupal creating stuff, and then after I'm done go to the command line and make absolutely sure that everything I created gets exported to a feature.