If you cancel the autocorrect on the fly for a word three times, it will add it to your dictionary. If you commonly use a lot of unfamiliar words, it might be worth it to "load them" into the dictionary manually by just going to notepad and typing/cancelling each one three times in a row.
I really like the autocorrect feature but I suppose I can understand why some would not. It's unfortunate that you can't more easily turn it off. I would suggest doing as psylichon suggested and that way a lot of your words will be remembered.