This is something I've been wondering about, myself. The literature just says that you have to do it from the Player List while in the game, but when I go into the Player List while in-game, there are no options I can find to affect the Buddy List at all. If I hadn't gotten a couple of Buddy-List requests, then I'd think it was just a pretend feature... I'm not even entirely sure what it does in the first place.
Anyone know how to use the Buddy List?