I wanted to do the same with the S2. I was very excited to spot the antenna socket under the battery cover. Much research online doesn't really give much information about it; neither did a phone call to Samsung (who were unhelpful.) Some online shops in Australia sell a constructed link for it but nobody here in the UK does, as far as I can tell. So I was looking at creating my own pigtail lead.
Having difficulty finding what precisely the socket is, (it isn't an MCCX I can guarantee, others report it isn't an MCX) I took a thin wire and pushed it into the centre to see if I could bodge a connection together.
Big mistake! The external antenna works - but now the internal connector doesn't. Whenever an external antenna is connected it disconnects the internal one. It turns out that if you use the wrong side wire, it appears to force apart two contacts within the socket (best I can tell with my loupe) and the internal antenna never works again.
I suspect the solution for Galaxy S which sometimes had a spontaneous similar issue - removing the antenna socket and shorting the contacts - would work, but it's not at all simple to do especially given the infrastructure on the other side of the PCB.
People think that this socket is only intended as a test point for use by Samsung before shipping the phone. I would strongly suggest NOT MESSING WITH IT or using it - and if you do, to buy (import if necessary) the specially made cable. Otherwise you may suffer my fate and have no internal antenna connection any more.