Hi,
Here is a solution that seems easier to me, posted it on an older post but this one seems actually more active.
This has been an issue for a lot of people lately, including myself.
I personally prefer to have my contacts saved on apple's servers rather than microsoft's 😝 especially since I'm now using several apple devices.
I couldn't find any answers to this on the web, except exporting-importing manually each contact.
Worked that out by myself for a few hours and found this way of doing it "automatically" without the need of a computer, your iDevice will suffice!
Step 1 : have your windows live/exchange contacts synced on the idevice.
Step 2 : Install the Free application "My Contacts Backup" from the AppStore and make a backup.
Step 3 : Send the backup file to yourself via Email.
Step 4 : Make sure that the default contacts account on your iDevice is iCloud in "Settings - Mail, Contacts, Calender - Contacts - default account"
Step 5 : Open the backup file in the mail from the idevice and install all contacts.
Step 6 : Disable the contacts sync function of Exchange in "Settings - Mail, Contacts, Calender - your Echange Account name" if you do not want to have both in your contacts list. This will automatically delete all contacts on the iDevice from your Exchange account.
And Voila! Hope this will help a lot of people 🙂