I would also heavily support the implementation of this feature. It doesn’t look very good (especially in comparison to other Markdown-editors) seeing things like Go to A → B.
The proposed solutions (plugins to replace an html-entity with its symbol counterpart or directly inserting the wanted symbol) is not the same. I want my Markdown-documents to be usable and the same on each application, so the html-entity should stay as is. Just the rendering should include it as well.