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:

1. Copy the list of email addresses
2. If it is not already delimited by semicolons, delimit the addresses by semicolons (you can do this with find & replace in a word processor, or often by just pasting the list into the To: line of a blank Outlook message, moving to the next line, moving back up to the To: line and selecting all (Command-A) and then copying (Command-C).
3. Creat a new Contact List (File:New:Contact list; if this option is grayed out search online for how to make it visible)
4. Click <once> where it says Double-click to add; the key is that you end up with the entire row selected, not just one box or the other
5. Paste

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!