Opera Mail is just Opera 12.16 with some browser stuff hidden. So, you do it the same way. You close down Opera and add the AddressFile line (with its value set to the path of contacts.adr) under the "Mailbox" extension in operaprefs.ini. See help -> about Opera Mail for the location.
Hint: opera:config is just a front-end to operaprefs.ini. So, what you can do in opera:config in 12.16, you can do manually in Opera Mail in operaprefs.ini