Can I create a new contact from an unknown MMS number?

I am looking for a way of creating a new contact using an unknown number that sent me an MMS. The new number is not detailed in the message itself. Is this possible? Currently I'm having to write the number down on paper so an alternative would be useful.

I'm using an iPhone 3GS with iOS4 installed.

You can add contacts from text messages by scrolling to the top of the conversation and tapping "Add to Contacts."