I typically use Dropbox to do it. Get the Dropbox app from the App Store, install the application on your desktop, and if you find a wallpaper you like, save it to your Dropbox folder via your PC or Mac. It will automatically get uploaded and then when you open the app on your phone, you can open the wallpaper and save it to your camera roll.
There are also TONS of wallpaper apps on the App Store. I've probably got 9 or 10 on my phone and check in to see what new wallpapers have been added to each one when I've got some time to kill. You just save the wallpaper through the app and it's saved in your camera roll.
I already have downloaded thousands of wallpapers on my pc. Now I wanted to add them to iPhone. But I will be wasting lots of bandwidth if I re-upload & download, cos my net speed sucks.
Is there anyway to add them using SSH or something ? I don't want to upload & download again.