Separately.

Yes, in Outlook 2003, open the distribution list, and click the Select Members button. Click Advanced, then New. (Earlier versions dont have an Advanced button, just the New button.) In the New Entry dialog, under Select the entry type, choose New Contact. Under Put this entry, select In the and choose the contacts folder where you want to save the item. When you click OK, the new contact dialog will appear. Fill in the details, then click Save. After you save the contact, Outlook will return you to the Select Members dialog, where you can choose the newly added contact and add it to the DL.