Creating a contact group from the recipient list of a message can be done in the Reading Pane of the mailbox or by opening the message.
1. Right click on a recipient in the message header.
2. From the menu that appears, choose "Select All."
3. Press CTRL+C to copy them or right click on the selected addresses and choose "Copy."
4. Open an existing Contact Group or create a new one by going to "New Items" > "More Items" > "Contact Group" or using the keyboard shortcut CTRL+SHIFT+L. Be sure to name the new group
5. Press the "Add Members" button and select "From Address Book" or "From Outlook Contacts."
6. Place your cursor in the field next to the "Members" button.
7. Press CTRL+V to paste the copied addresses.
8. Press OK and the addresses will be added to the Contact Group.
NOTE: You can repeat the steps above if multiple addresses have been added to both the To and CC fields.
Information taken from Microsoft Outlook 2013 Help and can also be found on SharePoint in the Software Users Group > Shared Documents > Outlook-Office 365 > Creating a Contact Group from the Recipient List of a Message.docx