The method I came up with is the same process that's described on Gedblog:
- Download the image to your desktop computer
- Drop it into iPhoto
- Sync your iPhone, making sure that it's going to synchronize pictures, including your new desktops
- On the iPhone, go to Settings > Wallpaper. Select your library of images
- Navigate to the image you're after and select "Set as wallpaper."
Update - Reader Michael writes, "...right click on the image in Safari and then select 'Add image to iPhoto library.'" Thanks, Michael!
Now that you know how, why not check out the iPhone Wallpapers Flickr group?