In the conversations list, press and hold on the contact/number to call (in the text portion, not the contact picture), and it should display a menu will Call XXX as the first option.
Inside a conversation, press and hold on any bubble, and it should bring up a menu, with Call as one of the options. If it's a contact in your address book, you can also just tap the contact picture at the top, and a toolbar will slide in.
At least, that's how it works on my X.
Edit: Just tried tapping on contact picture in coversations list, and it also shows a toolbar, if the contact is in your address book. If not in address book, will ask if you want to add to an existing contact, or add a new contact.