They don't generally unless you are using some different sync app than exchange. New contacts go where you want based on the settings on the phone.

 

I've not tried this as I do sync my contacts back to my work account, but if you go into Contacts and click the menu button then More then Settings, there is a page for where new contacts go. It appears that might do the trick for you, but I'm not certain and haven't researched further so just be cautious trying it. I'd hate to inadvertently lose your contacts.

Rgds/Mark M.