To save numbers to your contacts, open the phone or contacts app then go to contacts. After that there should be a plus sign around the top right of your contact list, click the plus sign then it gives you the option to enter the person's name, number etc.
If you want to save a number that you recently called, or to save a number that recently called you, go to call history or call logs (depending on your device) then click on the number and it gives you the option to delete it or save it to your contacts.