Russ thanks for this. Havn't tried it yet, but for those who want to do this completely client-side (no SPD), you can add the link using script like so:
$("input[title='ITVendor']").parents("td.ms-formbody").append("<a onclick='javascript:AddVendor()'>Add Vendor</a>");
Where 'ITVendor' is the internal name of the lookup column.
Josh