Vote for Hinglish and Hindi user dictionary

Not sure what exactly you are looking for, but I can add Hindi (in English) words to the keyboard and can use it anytime I need. All I have to do it to select the word underlined in Red and then select +<word> (from list of suggestions) to add it to the dictionary. Let me know if you referred to something else.
 
You might be using the English India/UK/USA keyboard. Read my comment on user voice. The option you are talking about is only in English keyboards, not in Hinglish and Hindi keyboards (it used to be in WP8 but was removed in WP 8.1 for Hinglish/Hindi). I have to switch frequently between Hinglish and English India keyboard because only the English keyboard has that + sign option of highlighting misspelles words.
 

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