Specifically, if o_worst is the worst outcome according to the agent under discussion and o_best is its best outcome, set U(o_worst)=0, U(o_best)=1 and for the other outcomes o, set U(o) = p where p is the probability for which the agent is indifferent between o and the lottery [p, o_best; 1-p, o_worst].
That’s a nice workaround!