I use the "Add a run of issues" feature quite frequently - even for odd issues here and there. First, I make sure all the issues I have are actually in the database - if not, I add them. Then, I click the "Add a run of issues..." link. When I have holes in runs, there are two ways I deal with it.
If the hole is small, only a couple issues or so, I'll go ahead and include them in the run, then "View that title in my collection" and remove the issues I don't have.
If I have a lot of holes, or I have one issue in an othewise large hole, I'll add a "run" of one issue. Setting the starting and ending number for the "run" to the same issue number will add just that issue.
After adding a run, or a single issue, just click the back button to go back to the form, and enter the new issue (or issues). If you're happy with the default details, it's a lot faster than bringing up the details page of each issue and adding it to your collection or wish list.