To set up a "one off" address:
Click the location button in the Sales Order/Quote
Then click the "Create New Address" button on the left side of the screen as below:
When you've entered the relevant details, click Save/Select at the bottom of the order and the address will be saved against that order only.
If you wish to use the same address again, untick the option in the bottom right of the screen labelled "Is Single Use Address". Unticking this option and saving the location will save the location against the company for future use if more orders will be placed to that address by the customers, or if the address is required for invoicing purposes.