I should know this but I expect it to be a simple answer...
This is my simple database so far for this question:
Am I supposed to insert the Id from Contact and Phone into Contact_Phone when I insert a record into Contact and Phone tables - or can this be done automatically?
I am using SQL Server 2008 Express.
You have to insert it yourself in SQL, but it depends entirely on how you're accessing the database.
The Entity Framework should be able to handle this for you automatically.