Ok, what you do is on the contacts page, do MENU and Get Friends. If you facebook account isnt already in the list, add it. Select your facebook account and check off everyone you want to merge into your contacts. It will add them automatically if it can, if you get double entries, simply open one of the contacts, MENU and Link contact to the facebook entry...
edit: I would add that I set my facebook contacts to NOT sync, that way I only pull down facebook contacts I actually want in my address book.