I do something similar as Marco said. I have Chinese character sets enabled on my PC. I use it to keep my Chinese ancestor's name in the 'alternative name' field. I use PingYing for the 'primary name' field, for those who does not have an Anglicized name. This way, both names would be shown on their Profile page.
I don't expect Ancestry or Family Tree Maker to understand those Chinese characters and be able to them as search keys.
Any Chinese Calligraphy names I saved as a media graphics file and link the person to it.