With the latest version of vLookup for SharePoint (for SP2010 and 2013) you can add vLookup connections from NewForm.
This requires a few extra columns added to the parent and child list, and the setup is described in the user manual.
When adding children from NewForm, you must remember to save the parent form. If not, the newly created child items will be orphaned.
Read about the setup in the user manual, and add questions or comments in the forum.