WhatsApp uses the phone numbers from your phone's address book. Contacts should be automatically added to your WhatsApp Favorites tab if you have their numbers entered correctly. See this article for further information on how to format an international phone number.
If you are chatting with an unsaved contact and want to save their number, follow these steps:
If you still do not see this contact in your Favorites tab after 30 seconds, go to Options > Refresh Favorites.
To learn how to delete a contact, read this article.