Another way is to add the XY data in Desktop after you are done collecting the data points.
Open the point feature class in Desktop.
Check your projection under Dataframe Properties to be sure you are using your projection of choice.
Open the Attribute table.
If you have not already, add 2 new fields called "X" and "Y" (or whatever you like).
Right click on the new "X" field header and choose "Calculate Geometry".
Chose Yes to continue at the warning pop-up.
You will see it has a Property drop down to select the X or Y coordinate (choose X for the X column and Y for the Y column !) .
You can pick the data source projection or your dataframe's projection (if different).
Repeat for the "Y" field in the table.
Good luck!