You can grab the ones you want by clicking on them to get the full size, save them, and then e-mail them to yourself on the iPhone. Just save them to the camera roll and then you can set your choice as your wallpaper.
It sucks that we can't delete some of the wallpaper that came with the iPhone, some are really terrible. It would also be great if we could put pictures we want as a wallpaper into the wallpaper folder.