In response to your query, I have added a new bullet in the FAQ. Please find the answer here: http://onyx.brandmaier.de/faqs/how-can-i-use-a-covariance-matrix-with-onyx/
Here is an example covariance matrix file:
COVARIANCE
10
5 21
8 3 40
9 9 17 20
OBSERVED VARIABLES
age education cognition brain
SAMPLE SIZE
100
10
5 21
8 3 40
9 9 17 20
OBSERVED VARIABLES
age education cognition brain
SAMPLE SIZE
100