Creating a customer address is a separate call from creating a customer. See the CreateCustomerAddress method in the Dynamics GP Web Services Reference.
CompanyKey companyKey;
Context context;
CustomerKey customerKey;
CustomerAddressKey customerAddressKey;
CustomerAddress customerAddress;
Policy customerAddressCreatePolicy;
// Create an instance of the service
DynamicsGPClient wsDynamicsGP = new DynamicsGPClient();
// Create a context with which to call the service
context = new Context();
// Specify which company to use (sample company)
companyKey = new CompanyKey();
companyKey.Id = (-1);
// Set up the context object
context.OrganizationKey = (OrganizationKey)companyKey;
// Create a customer key to specify the customer
customerKey = new CustomerKey();
customerKey.Id = "AARONFIT0001";
// Create a customer address key
customerAddressKey = new CustomerAddressKey();
customerAddressKey.CustomerKey = customerKey;
customerAddressKey.Id = "BILLING";
// Create a customer address object
customerAddress = new CustomerAddress();
customerAddress.Key = customerAddressKey;
// Populate properties with address information
customerAddress.Line1 = "11403 45 St. South";
customerAddress.Line2 = "Billing Dept.";
customerAddress.City = "Chicago";
customerAddress.State = "IL";
customerAddress.CountryRegion = "USA";
// Get the create policy for the customer address
customerAddressCreatePolicy = wsDynamicsGP.GetPolicyByOperation("CreateCustomerAddress",
context);
// Create the customer address
wsDynamicsGP.CreateCustomerAddress(customerAddress, context, customerAddressCreatePolicy);
// Close the service
if(wsDynamicsGP.State != CommunicationState.Faulted)
{
wsDynamicsGP.Close();
}