I've always been curious about it... not because of evil thoughts, but just genuine curiosity.
I found out that actually, the way you do it is to import a list of numbers to Excel, and then save the list as .csv
When you are done, you should transform it into a "vCard" (It's called like this in the "Apple" world I guess) with a special application, and then from your computer you just save them into your iPhone...
This is what I have found out... what do you think? I think it works though, cause I tried like 20 different numbers, and I was able to convert .csv to vCard and save them into my contacts on my mac..