Hi, pinnacle_man.
When someone on the modeling team creates a first (provisional) version of sequence diagrams, the elements provided in the EA toolbox for sequences are the ones that are generally dragged into the diagram. Please note that these elements are created as "sequences", and not as classes.
So, as soon as you think that what you have diagrammed is not provisional, but that you have identified a good candidate for a class, it is very importat to change these "sequences" into classes (right-click on the element, and change object type).
I have noticed that these new classes (the ones just changed from "sequence" to "class") are not displayed immediately on the project tree; so I try to do as many changes as possible, and then close my project and open it again. (I don't know if this is the most efficient way of doing it, but it works.) My new classes are now displayed in my project tree, in the same package as my sequence diagram, so I proceed to move them to the appropriate package: as we have discussed elsewhere, it is a good practice to have all structural classes under a single package (as long as your project is not really very, very large). These are the same classes that will be used in the class (structural) diagrams.
I now insert instances (objects) of the appropriate classes (as would be the case of your Address), or the classes themselves (when my sequence involves classes, and not instances) into my sequences, and change the messages from the old sequences to these new objects: right-click on the message, and change message scope. You can delete the old sequence element after all your messages are pointing to the new instance or class (check the links tab, to make sure).
From then on, use only instances of the identified classes; that is, do not use a "sequence" element to represent an instance of an identified class.
I know it sounds complicated, but the hassle involved does not have to do with the tool, but with the general difficulties involved in identifying new classes. As your model evolves, you have to do many changes such as the one I have described. Of course, when it is possible to identify a new class early on, create the new class and use its instances instead of using sequence elements.
There are many advantages in using the same classes in sequences and in class (structural) diagrams. The most important is, of course, locality of change: any changes or additions to a class' attributes or operations are done in a single place. This also works very nicely with your Relationship Matrix.
I hope this is what you are looking for. If not, keep us posted.
Jaime Gonzalez