I noticed that there would be an option in iOS 4.0 that you could add words to the dictionary.

iPhone OS 4 Will Have a Custom Dictionary
New iPhone 4G: Edit User Dictionary in OS 4.0 : Product Reviews Net

Those seem to be all reports from users that have iOS 4.0 beta 4.
But I can't seem to be able to find this option on my final iOS 4.0

I have an iPhone 3G US, iOS 4.0 final, jailbreaked with redsn0w, unlocked with ultrasn0w.