They do not, in my experience. I don't know what might be possible with any third-party apps. With the stock BlackBerry, recent contacts will be saved in the auto-complete cache and will be presented for selection when composing, if the show recent contacts feature is enabled in the messages options. But these 'recent contacts' in this context have not been automatically saved to the address book.

If the messages app is not presenting recent contacts when composing the message and this is what the user wants, then check the messages app options and see if this is disabled.
Posted via BlackBerryForums.com Mobile