Hi Swiss0013,
Thanks for your question. My name is Josh Wells and I am a support engineer on the Microsoft Dynamics CRM Support team.
Roger is completely correct. There is an Add Contacts wizard within the CRM Outlook client. PowerObjects wrote a great article about using this functionality:
www.powerobjects.com/.../adding-outlook-contacts-to-dynamics-crm-2011
The other option is to do it through the Import Data utility. Essentially you would need to export all of your Outlook contacts to a CSV file. The downside to this is the data that can be stored within the Outlook contacts. I have found with many customers that we run into issues going this route because the Outlook Contacts contain non ASCII characters. In these cases, we have to go through and manually clean up data within the CSV file before the import will complete. This functionality is discussed in the following article:
community.dynamics.com/.../crm-2011-data-import-wizard.aspx
Hope this helps. Feel free to let us know if you have any further questions.