Yes, I tried using add_vertex and add_edge and it works fine. But I assume
that add_vertex and add_edge is much slower than using

graph_t myGraph(array, edge_array + num_arcs, weights, num_nodes);

Is this true or not? Does anyone have experience on that?
My graph has over 10^6 edges.

It should not be. The cost of insertions is constant. You'll see a slight speedup if you're using VertexList == vecS, but since you're not, it shouldn't matter.