You will see the app loader in iTunes. Works the same as adding documents to iWork or PDFs to iBook.
Oh, wow this is pretty cool. I did not even know that you could do this stuff through iTunes.
When you open VLC it also gives you directions. With your iPhone connected go to the apps tab and scroll down, there is a file sharing section and VLC should be there. Then you can add files from your HDD. Neat.
Side question (off topic) - I've never used this feature before of adding files directly too apps. The only other one I have listed is Google Earth. What would I add to that?