The only way to do what you want with every Canon DSLR I've ever tried is to use Live View. Since the 350D does not include Live view, I would assume it is not possible with that model. I have not tried it, but I believe Magic Lantern adds this capability to some Canon models. I don't know if that includes the 350D/Rebel XT.

As an aside, I do bracketed shots frequently with a tripod mounted Canon 5DII. I see no real difference between long exposures taken with the mirror locked up and those taken without the mirror locked up. I see no real difference between exposures made using short shutter speeds. The real benefit of mirror lockup is only obvious when using shutter speeds that are of a duration so that the vibration caused by the mirror movement has time to reach the parts of the camera that matter but is also an appreciable percentage of the total exposure time. Short exposures are over before the vibration reaches the parts of the camera that matter. Long exposures aren't affected because the vibration is only a very small percentage of the total exposure time. The effect of the vibration is not noticeable, just as people can walk across the field of view during a very long exposure and not be visible in the result. Although the absolute numbers will vary from one camera to the next, if you have the camera on a solid mount, I would only be concerned about mirror vibration at shutter values between about 1/100 second and 1 second.