Sorry, the script works for lookups having more then 20 items in the lookup list because of the select box vs. compound controls for lookup columns.
The selector for your output would be:
$("select[title='Columns']").parents("td.ms-formbody").append("<a onclick='javascript:AddColumn()'>Add New Columns(fields)</a>");
Alternatively, here is some script that uses a function 'DropdownCtl()' in SPServices to differentiate. So it should work for any lookup column.
<script src="/_layouts/1033/jquery-1.7.1.js" type="text/javascript"> <script src="/_layouts/1033/jquery.SPServices-1.7.2.js" type="text/javascript">
<script language="javascript" type="text/javascript"> $(document).ready(function(){ var lookupColumn = "Columns"; //set your lookup column names here var lookupSelect = new DropdownCtl(lookupColumn);
$(lookupSelect.Obj).parents("td.ms-formbody").append("<a onclick='javascript:AddColumn()'>Add New Columns(fields)</a>"); }); </script>
Josh