Great Lightroom 1.1 tip!
When it's ticked, Lightroom adds the VCs and not the master images to the new Collection. This is a smart move because, especially when you're working with lots of pictures, a Collection remains the fastest way to select your virtual copies - grouping all the black and whites for a job, or all the alternative crops etc. It's certainly faster than filtering on the date or keyword or whatever, and then on virtual copies in the Filmstrip. I'm tempted to say forget other methods of creating VCs - the shortcut's Ctrl/Cmd N.