I'm presuming your iPhone is jailbroken, since (I believe?) that is the only way you can get additional wallpaper onto it. If that's the case, then I think you can ssh into the phone, find the folder the wallpapers are in, then copy them over to your Mac, if you downloaded them off the net then maybe re-download them? If you're not jailbroken then I don't think this is possible. Some people here may know better than me since I only have an iPod touch and didn't really bother with wallpapers.