I was going to write the following....
[OK. I have a different problem now. I sent a text to a number that I've not previously contacted from this phone. I then long-pressed on the message and this time I can see the 'Add 07xxxxxxxxx to Contacts' option (I'm not sure what I did different last time, but never mind.) When I choose that option from the menu I'm sent to a 'Select contact' screen, but if the contact isn't there (which, of course, he isn't because I've never contacted him before) there's nowhere to go except back! Do I really have to leave the Messages screen, then go into the People screen to add the person's name, then back to the Messages screen to add the number to the Contact?]
... but before I did I thought I'd better check one more thing, so I went back to the Messages screen, chose the Add to Contacts option, stared at the 'Select contact' screen, then PRESSED MENU. Eureka! There was a 'New Contact' option.
Not exactly obvious to a bear of little brain!