What is the best way to have a lookup that supports creating a new record if one isn't found?

Peter, this is not the first time the idea has emerged. It would be possible to create a custom renderer that added the capabilities of allowing a popup to open where a new relatedrecord was created, but also added the lookup relationship in the original location.  And you are right - once created once, it should be abstracted so that it is available by configuration for any lookup field.   We’ll consider this an idea for future development.  

Any others out there that would appreciate this feature?