Just drag an Execute SQL Task and double click to open SQL Task Editor. Under the SQL Statement section, you will find the slot for Connection.
Click on New connection and you will see the Configure OleDb connection Manager window. Click on the New button.
Now , you will find the window called Connection Manager. Click the provider called Native OleDb/SQL Server Native Client and choose Microsoft OLEDB provider for Analysis Services 10.0.
Now, click ok and go back to the SQL Task Editor window and write your MDX statement (I used a Create Global Cube statement for creating a local cube). Now, you can exeucte the task and see the result.
Zahid's blog on Data Engineering and BI 
This was extremely helpful. I’m hoping to use this for an ALTER CUBE statement to set a default member on a role playing dimension.
Hi, I just learned this is not the right way to do an ALTER CUBE statement. It needs to go into the cube calculations tab. Live and learn.
Lisa
You are right! You cannot run the ALTER CUBE command that way.