How to add a new contact to a gray circle

Oh, you want to pin a conversation in Messages! Thank you, the picture makes it much clearer. It's not a contact who is being pinned but rather the conversation. And, it's only a grey circle if you don't have a contact picture.

See here:

Use Messages on your iPhone, iPad, or iPod touch - Apple Support

Hi sunshineman6869,

We'd love to assist you with adding contacts to your iPhone. These steps here: Add Contacts will assist you with getting them added.

Best regards

The instructions on how to pin a conversation are in the article I linked to but, here they are as well:

Pin important conversations

With Messages in iOS 14 and iPadOS 14 and later, you can pin up to nine conversations. When you pin a conversation it shows up at the top of the Messages app, so it's easy to get to.

To pin a conversation, open Messages, then swipe right over the conversation. Or follow these steps:

1. Open Messages, then tap Edit or the More button .
2. Tap Edit Pins , then tap the Pin button .
3. Tap Done.

What do you mean by "grey circle"? If you want to add a contact to "Favorites" in the Phone app, open the Phone app, tap "Favorites" (it's a star, not a circle) then tap the "+" in the upper left corner and add what you want.

It might help if you included a screenshot of this "grey circle".