The Mac version of Outlook does not make it easy to create a contact list from a list of email addresses! I see a lot of people have been stymied by this, and I was too, at first. (I came so close on the first try...just didn't put the two essential ingredients together.)
Outlook for Mac
How to create a mailing list (Outlook calls it a "contact list") by pasting a list of email addresses:
The two keys are having a semicolon-delimited list of addresses (unless you have set up Outlook to consider a comma as a delimeter, which is possible) and having an entire row selected when you paste (lest you end up with all the entries in a single box). Hope this helps someone!