Found out how to add spelling dictionaries:
Locate a free dictionary in MySpell-format (same format as used by OpenOffice/LibreOffice and others) - you need the .dic and the .aff files.
Copy the files to
Close Sigil and reopen it. Now you should be able to select your new dictionary.
As Toxaris pointed out, the spellchecker marks all words containing accents (and our danish specialities ÆØÅæøå) as misspelled, even if they exists in the dictionary. epub being UTF, this shouldn't be necessary (most of the common accented/special characters are found in the higher ASCII anyway).
Also, it would be nice with configurable user-dictionaries, or at least a different one per language, and to do the spell-checking in any of the views.