If you have the numbers saved on your SIM card, you can only add 1 number per person. Go to the contact you want to add multiple numbers, hit the Menu button(bottom left touch button, has 3 lines on it), and hit Copy to phone. Now you can add multiple numbers, along with Email, address, etc.
As far as Sim or Phone, it really is personal preference. Like I said above, if you want to add more than just a number, phone is better. If you switch phones a lot, use the Sim.
I will say though, I see more phones that go bad before sim cards do, so it's usually better to have them on the SIM if your phone goes bad... You can always have them on both, and then go into your address book settings and have the phone view Sim or Phone only so it's not duplicated.
