App and photo editor
There are 2 ways you can do this.
1. View the photo with Safari on your iPhone, tap and hold your finger on the photo, select Save Image. This saves the image to your Camera Roll.
2. Create a folder on your computer called Wallpapers. View the photo with your computer, right click and save to the folder. Sync this folder to your iPhone with iTunes under the Photos tab. This will create an album titled "Wallpapers" to your iPhone's Photos app.
I prefer the 2nd method because it keeps them organized.