With 2.0 firmware installed, you press and hold the home button, and then press the Sleep button.
Once you do that, your screen will go all white for less than one second and the pictures will be saved into "Saved Photos" folder in your Photos.
You also have the option to save images from the web by pressing (and holding) on a picture on a web page in Safari and the Save Image option will show up after a second or two.