I was just about to ask the same question. There's a thread in the Q & A that deals with this already. http://moz.com/community/q/how-long-does-it-take-to-get-links-indexed
The consensus seems to be that it can take as long as 6 weeks for links to show up in OSE and WMT for new sites. Older sites with more authority can see their links show up within hours. The key then appears to be building authority not only with links, but with content and social at the same time. Make sure that you've submitted sitemaps to WMT (and Bing WMT - why not?) and that there are no crawl errors or other problems with your site. Get the message out on FB, Twitter and G+. You also want to make sure that you have solid content - not spammy, long enough, etc.
I have also seen some people suggest linking out to important sites in your niche or category as a way to improve indexing, although I don't have any data to back that up. Otherwise, hang in there!