Every time I add a contact (via the little plus) it brings up the Google contact screen. It used to give me an option for SIM or phone storage for the contact, but this is no longer an option.
On my DEFY XT it's Contacts -> Menu -> Accounts, then I can pick my account, and there is a check box for "Sync Contacts" which I've unchecked. I assume the default location is in the phone memory (not SIM or micro-SD). But, in Contacts -> Menu -> Import/Export, I can import from or export to the SD.
A suggestion I've heard elsewhere is that if you want some contacts synced and some not, you can create another account, and have one account sync and the other not sync.