To get CO2 with a subscript instead of just CO2, place a space after CO2, format the '2', and then select CO2 without selecting the space. The 'formatted text' button will be enabled when you bring up AutoCorrect. Add the correction.

In the AutoCorrect dialog, 'CO2' without the subscript will still show in the correction field, but if you select it, 'CO2' with the subscript will show in the edit box.