Inserting a new lookup value for the SSIS Lookup Transformation
Option 1

It's been awhile since I have done it but basically this is what I did.


After the lookup, do a conditional split. 
Split the NULL values off on their own path.
Use an OLE DB Command to insert your rows.  Be careful here because you don't want to insert the same row over and over again.
Re-lookup your value (or get it back from the OLE DB Command if you can).
Use a Merge to merge the two data flows back together again.


Option 2

Do it with 2 data flows. In the first one, find all of your data that doesn't match and do the insert. In your second one, do the lookup.

The latter option may be simpler for your purposes.