See http://www.slipstick.com/contacts/addauto.htm for various ways to save senders or recipients as new contacts automatically, depending on your version and configuration of Outlook.

In the near future, we will be releasing a new program that will let you
automatically copy autocomplete data to your contact list.  So you ask, what
good will that do me?  That would be a fair question.  The answer?  If you
responded to any incoming mail, your autocomplete file will be populated
with the name and/or e-mail address.  Wonderful right?  No, because usually
one has no way to move this data from the autocomplete file to anywhere!  We
have a utility to open, edit and export the autocomplete contents, but
moving the info. to a contact folder is possible, but cumbersome.
Consquently, we re-did our program and if you're interested in purchasing it
when it's available, you may.  It will let you press one button and you can
periodically copy your autocomplete data to contacts.

Caveat...the autocomplete function only works for OL XP and 2003.

You can contact me at sales (at) dcs-imaging.com and I can let you know when
the new product will be available for purchase if you're interested.

Randy