You check, edit and add new addresses by going to My Stuff  >  Dashboard -

On the left-hand side, you will see the address management section, click on the Addresses button to see your current addresses -

To add a new address click on the New Address button in the top right corner -

Also, make sure you have a Default address, this is where sellers will send your purchases and a Return address if you are selling (Default and Return address can be the same). You can store other addresses (for friends, for your office etc), but please remember that we will provide less protection if you use a Freight Forwarding address.