When you search for a contact in the Contacts module, the app will retrieve a list of contacts that meet your search criteria. From this list, those contacts that are added to your phone's address book will have a address book icon on the far right. 

Select a contact that isn't added to your address book and hit the BlackBerry menu.  Then click Add to Phone Contacts.  Now the app will keep this new contact up-to-date automatically in your phone's address book.