You may make a connection to a second database by prociding a Data Access Object to DatabaseConnection::makeConnection and false as the second parameter so that it will not become the default connection. Then you need to store use the Data Access Object as long as you need it and use it wherever you need it.
You may override the method getNewQueryHandler on certain domain classes to return a QueryHandler that works on a different database. This allows you to use one database per peanuts class. However, PntSqlSort and PntSqlFilter instances that require joins will probably not work with joins combining multiple databases in a single query. If you think that it is possible to solve that, please inform us.