How can I move Contacts from Exchange to the From My Mac groups? I have discovered that some personal contacts that I'd created (using the iPhone's built-in Contacts app) were created in the Exchange (business) group.  How can I move them over to the "From My Mac" contacts?  (Preferably into one of the Address Book Groups that I've created there.)  

And how can I prevent this from happening in the future (perhaps by specifying which group to use when creating a contact)?

I have an iPhone 4 running iOS 5.1.  Jail-breaking is not an option.  The iPhone syncs to iTunes on a Macbook Air running OS X 10.5.8.
Unfortunately, iPhone Groups are not meant to be edited from within the iPhone Contacts app. You can try copy iPhone contacts from one group to the next using a third-party program designed to access your iPhone Contacts app from a PC.