I have noticed this dilemma myself.
One option is to refine your search to a page at a time. Send the mail. Then go back to the search and select page two and send the mail, Etc Etc.
As far as Express I don't use it I use Outlook. But if you send yourself a comma delimited file and cut and paste into the to box to send that works.
If you wish to save the list in your address book. Then I believe you would need to save the list as a txt file then open outlook select file>>import and import the file to your address book. It works for Outlook but I am not sure about express. I do know it is a option install so you will need the Office disks to have that feature.
Of course you will not have user names just email addresses.
