Add unique words from a text file to a list in python

suppose I have the following text file:

But soft what light through yonder window breaks
It is the east and Juliet is the sun
Arise fair sun and kill the envious moon
Who is already sick and pale with grief

I want to add all unique words in this file to a list

fname = open("romeo.txt")
lst = list()
for line in fname:
    line = line.rstrip()
    words = line.split(' ')
    for word in words:
        if word in lst: continue
        lst = lst + words
    lst.sort()
print lst

but the optupt of the program is as follows:

['Arise', 'But', 'It', 'Juliet', 'Who', 'already', 'and', 
'and', 'and', 'breaks', 'east', 'envious', 'fair', 'grief', 
'is', 'is', 'is', 'kill', 'light', 'moon', 'pale', 'sick', 
'soft', 'sun', 'sun', 'the', 'the', 'the', 'through', 'what', 
'window', 'with', 'yonder']

'and' and a few other words appear multiple times in the list. Which part of the loop should I change, so that I don't have any duplicate words? Thanks!