This is how you do it on a Vario II. Uses the WM5 OS so should be the same for you:
1. Go into Contacts
2. Select Menu
3. Select SIM Manager
4. Select Menu
5. Contacts to SIM
6. All done!
Remember that the SIM storage is pretty basic and you can only store contact name and number. Other details like Address, email etc won't be copied over. Use Active Sync to backup contacts details to Outlook.