While spell checking a document, misspelled words are flagged, you can click on the add-word button to add the word to the custom dictionary.
What if you want to add multiple words at once to the custom dictionary, without being prompted for each one at a time? Lets say you have a list of 500 words you want to add to the custom dictionary.
Then spell check a document with all the words you want to add to the custom dictionary, and when the first word is flagged as misspelled, hold the control key down and then click add-word. This will tell Spell Check Anywhere to add all the words in this document into the custom dictionary.