Gmail – Shortcut to Gmail Contacts

While Lipis' answer still works, there's another method as well.

With the message open, hover your mouse pointer over the sender's name. An info card will pop up. If the address is not already in your contacts, you can click the "Add to Contacts" button to open a contact edit form with the name and email address already filled out.

(The Add and invite button is for adding the person to your Google+ Circles.)

Click on My contacts to see all of your contacts at once.

GMail link: http://mail.google.com/mail/u/0/#contacts
Google Contacts link: http://www.google.com/contacts_v2/u/0/#contacts

Other Contacts still contain the auto-created records of people with whom you exchanged only a few messages and they have never been included in All Contacts.