How to let users adding an option to dropdown?

From a drop down list, can we have the option to type in an option that is not in the the drop down list?

We have new colours add every day but our list get to big as in thousand. so we just want to list the top 20 and if they want another colour they can just type it in.

I know this can be done. i do it for PDF and website forms 

Yes, you are right. Adding other option by users is available at User Contributed Dropdown widget. All added options will be stored at the widget for new users.

But, I can also suggest using the Dynamic Dropdowns if you will decide to add all colors. At this widget only 3 options are shown, but there is a search field, so users can find the option by starting to type it. 

Here is a guide how to add a widget:

How-to-Add-a-Widget-to-Your-Form

Hope this helps.