You can add a new shipping address when editing an order. The address will be saved in the list of available addresses.
Add a shipping address
Open the order record and select Edit.
Select the Shipping address field to display the existing addresses.
Select Add address at the bottom of the list.
Complete the fields in the pop-up window with the new address details.
Select Save to add it to the list.
To use it for the order, select it in Shipping address and save your changes to the order.