i just hold the number on the dialer on my droid x and it asks me if i want to set a speed-dial to the number,
but in all honesty why do you need speed dials?
you have favorites, recent calls, and you can have one touch calling from a contact widget thing on your home screen.
it takes longer to go to the dialer and hold a number than it does to just tap on their picture on the home screen.
i've only had my phone a few weeks so i'm a hardcore newbie but i'm just saying, i had speed dials on my blackberry but i haven't even thought about them since i've gotten this device.
just my 0.02