The easiest way to add a contact is from the chat.  Just select a user and right click Add Contact.


You can also do it from the transfers screen, right click over the transfer and select User->Add Contact


Alternatively, from the contacts sidebar you can click the add contact button

Which will open the add new contact dialog:

Just enter the contact's name and if you want, leave the "Request to follow" check selected.

Once you click Add Contact,  the screen will show:


On this screen, you have the option of adding the new contact into any group quickly and easily: