Whenever I added new contacts to my iPhone, on the next sync, iTunes would ask me if I wanted to copy them to my Mac as well. Photos and music can't easily be synced from phone to Mac, but contacts can.
Ah, here it is. I just found it with my iPhone. Plug the iPhone into the computer. When iTunes starts up, click on the iPhone in the panel on the left-hand side. You'll see a screen that has a lot of options along the top: "Summary," "Info," "Apps," "Tones," "Music," and so on.
Click Info. In the top of the Info pane, turn on the option "Sync Address Book Contacts."