Adding a rule to replace “–” by “–” in System Preferences > Keyboard > Text unfortunately doesn’t work (I use Mac OS 10.10.5). Quitting & reopening Omnigraffle didn’t help.
The other solution, Edit > Substitutions > Show Substitutions > deselecting Smart Dashes doesn’t work either because there is no such menu in Omnigraffle. Strangely enough, Apple only gives this same tip (https://support.apple.com/kb/PH18439?locale=en_GB).
But I think I have found a workaround: switching to the Unicode Hex keyboard and entering the hyphens with the Alt-2010 combination keys. This trick seems to work, it survived both printing and quitting & reopening the file.