When you create a manual order or import multiple orders via CSV, if you specify certain fields for your customers, ShipStation will create a customer record. If you do not specify these fields, a customer record will not be created.
For a manual order, make sure that you populate the e-mail address field with a unique email if you want a new customer record to be recorded within ShipStation.
For orders imported via CSV, make sure that you specify a unique username for each customer or map the Email Address column on your spreadsheet into both the Username and Buyer Email fields.
This is how the a customer record will be generated on the Customers tab.