How to load my classes whenever, wherever without having to include/require them

[eluser]sneakyimp[/eluser]
So it's been awhile since I set up a new CodeIgniter project and I'm wondering one big fat thing: how/where do I create an autoloader function such that my classes will be located correctly without me having to specifically include/require the file that defines them?

I looked at one of my old projects and saw that I had put this code at the end of the /config/config.php file:

Code:

function my_autoload($class) {
$path = array('core', 'libraries', 'models');
if(strpos($class, 'CI_') !== 0) {
  foreach($path as $dir) {
   $full_path = APPPATH . $dir . '/' . $class . '.php';
   if (file_exists($full_path))
    include_once($full_path);
  }
}
}
spl_autoload_register('my_autoload');

A couple of things concern me:
1) This is an odd place to put a function, no? I vaguely recall that it was necessary to define the autoload function sufficiently early that it properly located my classes for use in a controller.
2) If I need to upgrade CodeIgniter, will this be preserved?
3) Is there some other, more 'correct' way to do this?