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In the "Exceptions" list in the Connections/Advanced section, add the IP addresses you'll be using inside the VPN. For instance, let's say you're VPN'ing into your home network and it used 192.168.20.x. You'd put in 192.168.20.* I believe (memory is fuzzy on exact wildcard syntax). When you go to an address in the exceptions list, it automatically attempts the connection through the VPN first (it'll connect to the VPN router first, and then pass through the IP request).
I do this all the time when I need to connect to a computer at home.
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