when you first fire the phone up you should get the option to do this? you must have clicked no? otherwise you could have done this in 2 button presses.

Im not sure if its the same on an N96 but on my N95 8GB you have to go to Contacts > Options > Scroll down to bottom of screen and keep going until you reach "SIM contacts" > Select > SIM directory - Pick whatever > Options > Open > scroll down to Mark/Unmark > Select > "Mark or Mark all" as appropriate. Go back to Options > Copy to Contacts.

Probably the same way or similar on your N96?