Brian:
It's tricky because you can only save the current form if all of the required columns are already completed. Usually the lookup columns that you'd like to add values to tend to be toward the top of the form, so without ensurung that the user fills everything in forst, it won't work. The UX for this just gets too clunky.
I originally built SPLookupAddNew just so I could add values in my testing, but it's taken on a life of its own.
M.