For this to work I think you need to have one-to-one project-workspace enabled (MPLAB main menu Configure | Settings... | Projects | Use one-to-one project-workspace model).

It's of limited use since you have to use different debug/programming tools in each project (ie Pickit3 in one, ICD3 in another). You can't use two of the same type. For that you'd need to use MPLABX.