I want to do this :
I don't see any possibility according to the documentation on http://jqueryui.com/demos/slider/. You could destroy and recreate the slider when a value is added or removed. This requires you to store all current values of existing handles. Not a super elegant solution but it's the only one I currently see besides updating the jquery ui library.
I updated your fiddle with a simple example: http://jsfiddle.net/FPCRb/4/