How would you propose to connect the iPod to the iPhone? The USB ports on both devices are target only, which means you can't connect them together. You'll also notice a lack of cables that have ipod connectors on both ends for this very reason! 🙂
Your computer will have to be involved. If your music isn't already on your computer, you can find a program to copy it off your iPod (like Senuti for Mac), import it into iTunes, then sync it to your iPhone.
-steve