Today I downloaded the newest daily build of NetBeans 6.5. To my (pleasant) surprise, the "build project" menu item was grayed out. Yes, that means that NetBeans now compiles your files once you hit the save button. This also means that "Run" action is now mostly instantaneous because all files have already been built while as you worked on them.
To verify that "compile on save" works properly you can open your build directory in the "Files" tab and then right click on the file to see the file size (or open a file manager and watch the file size in the file manager). Make some changes to your sources and then once you save the file check whether the appropriate file size has changed in the build/classes directory. You should see that the file size of the class you edited has change on save because the .class file has been updated.
I was looking for an option to disable "compile on save" and found it in project properties in the "Compile" section. So if you don't like automatic compilation, you can turn it off, although it is enabled by default when you create a new project.