If you receive incoming SMS, you can save the sender phone numbers directly to one of your contact databases — without copying them manually.
Go to Traffic → Incoming SMS.
Use the checkboxes on the left to select the messages whose phone numbers you want to save.
Click the Add Address Book button in the top left corner:

In the window that opens:

Choose where to save the numbers:
Select an existing database from the Select database dropdown
Or enter a name in the Database name field to create a new database on the spot
Click Add.
The selected phone numbers will be saved to the chosen database and will be available in SMS → Databases.