Glenn
More than likely what you have done is this...You probably didn't copy the item you wanted. Go back to your list you were sent. Select the icon you want, then hit the bb button and copy the icon, THEN go to auto text and paste the icon into the "replace with" field.
Try it again and see if it works. More than likely, you didn't really copy the icon, that's why the paste option didn't show up under the bb button or menu. :D