Should I add Guest Lecturer experience in my CV? As a PhD student I have been invited to give a guest lecture in an MSc in my university in another department. 

Should I add this to my CV if I intend to apply for academic jobs? If so, what should this look like in my CV? In which section would it go?
I've seen a lot of CVs include guest lecturer. You would include it in the Teaching section of your CV.  A quick google for "guest lecturer cv" will show you some examples. 

Do note, this is generally different than an invited speaker though. A Guest Lecturer comes and teaches a class where as an Invited Speaker comes to give a talk or seminar or colloquium. If this is an invited talk then you'd still list it on your CV, but in the Invited Talks section.