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The suggestions I've seen to do this automatically involve adding a GREP style to the paragraph style. The trick is to specify the correct Unicode range for the foreign language in the GREP expression, then apply a character style that specifies a font with the glyphs you need.
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Peter's solution is the one I use myself - I have premade GREP queries for the twenty-odd writing systems I work in frequently. I'd be happy to share if you are interested.
However, there are other ways to get there, if you don't like using GREP styles. If you are working in CS6 or later, you can turn on Missing Glyph Protection, which IIRC will auto-substitute fonts for dropped glyphs. I don't know for certain - I never use it, as when I'm working in a fifteen-language document I really don't want anything to happen automatically w/r/t font substitution.
There is also a script by a different Peter (Kahrel, this time) that will seek out dropped glyphs and replace them with a font you specify. Find it here: Manage undefined glyphs | Peter Kahrel It's pretty easy to use, and I used it fairly regularly before I sat down and wrote my own GREP queries.
Thanks Peter and Joel - Will investigate your suggestions.