Hit your space bar from your home screen, this will bring up the recent call list. From there select the number you want to save in your contacts. Hit the left soft key button which will say "save". This will take you to the contacts screen. Select <new item> then scroll down to where you want to insert the number..ie: mobile, work, home... Then hit the left soft key "Insert". This will paste the number in that field. You then need to enter the rest of the information such as name etc.. (I agree it is not that efficient.)
Trent you beat me to it!

Haven't we played this game before?