Select one or more contacts and drag them to a group or folder.
Contacts in an Exchange account can belong to only one folder at a time. Any contacts not in a created folder are in the default Exchange Contacts folder.
Remove a contact from a group
Select the group.
If you dont see your groups, click the Groups button.
Select the contact.
Choose Edit > Remove From Group.
The contact is removed from the group but stays in Contacts.
I think he means that when, for example, you choose to add a sender's address to Contacts from Mail, you don't get a choice as to which group it goes into. It's just added to All Contacts and you then have to go into Contacts and drag it to a group.