STEP 1: Right click on the wallpaper image and save it to your desktop.
STEP 2: Open iPhoto, create a new photo album and drag the wallpaper image to your new album to add.
STEP 3: Connect your iPhone to your computer and select it in iTunes. Under the Photos tab of your iPhone's contents, select the check box for "Sync photos from" and select iPhoto in the drop-down list. Then sync your iPhone.
The photo album you just created in iPhoto should now be visible on your iPhone and should contain the wallpaper image you just added. To add any future wallpaper images drag them to the same album in iPhoto and they'll be added when you sync your iPhone.