I typically use the Character Map utility (Under Accessories on the Start
Menu) to find the symbol I want, then copy and paste it into the AutoCorrect
dialog box.
You can also find out the Unicode string for the character (also using
CharMap) and manually type it into the AutoCorrect dialog box by holding down
the Alt key and typing the Unicode string.
I just re-tried both methods in my copy of OneNote and they both work. What
method are you using to get the symbols into the AutoCorrect dialog box in
Word? What's not working in OneNote?