There is no shortcut that you can use to add a contact to a dl. Ie, like right click on person's contact, choose Add to DL > and see a list of DLs.
But, you don't need to pick and choose from the address book or type addresses in one at a time either. If you have a list of addresses, either semicolon delimited or one address per line, you can paste the entire list in the members field.