Need button for Add New to reference form for picklist that is based on a lookup

Need button for Add New to reference form for picklist that is based on a lookup

I have a picklist based on lookup to another table. If the value I need is not in the picklist then I have to close the form, open the other, add it and then return to where I was. Is there a way to putt a little button that says Add New and automatically reference it t the form where the lookup points?