I had a similar problem, and I was just about in the same bit of frustration that you are in now. My first issue was having all of my Facebook contacts load first. Well, that's NICE, but it's not what I wanted. Here's what I did.
I added in my contacts of those I called most frequently, and I see there is a way that you can import your contacts in from an SD card, if you have one loaded.
Once you have a contact entered, you can select the "star" in the upper right hand corner of your contacts screen, and that will create them as a favorite and make them easier to find.
I also found out that we can create groups of contacts, and I am working on that now. For instance, the huge list of friends in my Facebook can simply be lumped into one group that I will call Facebook, and that will narrow things down considerably! I'm ENCOURAGED now...
The other thing that was bugging me was the fact that if I wanted to send a new message to someone - I was having to manually key in their cell phone number (and that ticked me off bigtime). After having read on here (and a link to the Droid User's Manual
(found here), I am THRILLED.
I hope this helps you... the Droid is a little different, but I think it's all going to be okay (at least for me).