Yeah I like to work in that way too, but this is not the exact Sf2 and mainly Doctrine way to do things.
php app/console doctrine:mapping:import MyBlogBundle annotation
This one reverse engineer all your SQL tables and import/describe them in your specified bundle in the specified format.
php app/console doctrine:generate:entities MyBlogBundle
This one generate the doctrine php objects/entites.Between
those two actions, you may want to manually delete all the generated tables descriptions that doesn't belong in your bundle. I'm not sure using the annotation format is a good idea here. Personnaly, I use yml, and I manually delete in command line or FTP the generated .yml (something in your bundle directory/Resosucres/doctrine/orm/xxx.yml if I remember correctly). Then I generate the bundle entites.
If you have customized your entities, check this question I asked a few days ago: viewtopic.php?f=23&t=40767
Lukis member answered me, but I still didn't had the time to test it furthermore. Good luck!