Thanks for that. If you are dragging a pin the address doesn't show up in the search box, but you can get the address in the info window then cut and paste that into the contact address section as you said, so you can still click the address in contacts and go straight to the map. This is one of my favourite iPhone features so far.
I've just bought an iPhone and am really enjoying it. The maps are great especially for someone with no sense of direction. One thing I can't find an answer to though, and I am not sure if I am doing this right. From the maps app you can add to contacts, but this doesn't copy the map url. I found though if you "Share Location" the vcf file it emails out does contain the map url. So you can open the vcf and add to existing contact, but it seems odd to do it this way...