You're better off having them saved as Google Contacts. You can't attach any data (other than name and phone number) to SIM contacts and there's a limit to the amount you can store on the card itseld (100).
The save to SIM feature is disabled in recent Android releases.
If you want to save them to SIM however, you should be able to open the phonebook, hit menu, import/export, export to SIM Card.