Picedit isn't that intuitive in this case, because it can draw on both the visual and priority screens
simultaneously. To draw on the priority screen, you need to select your colour with the right mouse button. Then, whichever screen you're looking at, the lines will show up on the priority screen in that colour.
Mokalus of Borg
PS - If you're drawing visual & priority separately, though, make sure you turn off the visual colour before you start drawing priority lines.
PPS - This is all probably covered in the Picedit documentation or some AGI tutorial somewhere, too.
