No, you can't save anything to the iPhone. "Why not?", you might ask. No clue.
I guess Apple looked at the market for "combination" devices, and how people used their Treos and Windows Smartphones, and Blackberries, and concluded that people don't want to save information on their devices.
The iPhone is a closed loop, only accessed via iTunes (and now various hack apps). If you want to put a photo on there, save to your photo folder and sync it to the iPhone that way.
Open the photo or image you want to save. Then just touch the screen until a window pops up. It will say "Save Image". Select it. Magic . . . It's now in your photo album/library.
Please don't bump old threads. If you look at the date of this thread, this question was asked in 2007 on a very different version of the iPhone firmware.