Engine Yard allows customers full SSH access to instances. The easiest way to do this would be to click the "SSH" link your dashboard or SSH directly to one of your application instances and then:
RAILS_ENV=production bundle exec rails console
For Rails 2 with bundler:
RAILS_ENV=production bundle exec script/console
For Rails 2 without bundler:
Note that script/console has to be chmod'd +x so that it's executable. If you get something like, "Permission denied", look at the file's owner and permissions. If it's owned by your user, do "chmod +x script/console" and try again. This is usually already set, though I have seen a few cases where it isn't.
Hope this helps!