This works great for me and I'm doing more, writing less with jQuery's example modified.
I defined the select object on my page, just like the jQuery ex. I took the text and pushed it to an array. Then I use the array as my source to my input autocomplete. tadaa.
$(function() {
var mySource = [];
$("#mySelect").children("option").map(function() {
mySource.push($(this).text());
});
$("#myInput").autocomplete({
source: mySource,
minLength: 3
});
}