The only way that I have found to put addresses into categories is...when in the address book, click in the trackwheel and scroll up and click on filter. On mine it starts off with a business category and a personal category, but you can add a new category by clicking in the trackwheel and selecting new.
From there click on the trackwheel of the selected category and change option (which will check that category). Then it will bring you to the business category, so when in that click your trackwheel (TW) scroll up to lookup and when the contact is found click TW and select add.
May be a tedious process if you have a bunch of contacts that you want to put into several different categories...Hope this helps you!