There's always what's called a "box turn". Go straight, but stop at the opposite corner on your right. Turn your bike, then wait for the light to turn green for the desired direction.

I'd suggest this over the turn right-turn-then-U-turn-to-go-straight method since you'll be making less movement and being easier for other users to predict.

I've got a busy intersection near my place where my choice of either a box turn or taking the left turn lane is dependent upon traffic. Sometimes it's so crowded that it's just not a good idea to move three lanes over, sometimes there's nobody else on that same block.