If you need to programmatically select an option, using events, so that your callbacks are called then you can do the following:
Suppose we have a ul element with id mySelectUlID, and i want to add an extra element to the end of it and also select it.
This is done like this:
$('#mySelectUlID').append('<li class="ui-widget-content ui-selectee ui-selecting">another</li>');
The code is valid for the latest jQuery 1.10 and is self explaining i believe.