You won’t be able to do that right now in iPhone 1.1.4. You need some unofficial software to do so. But, you can in this recent iPhone 2.0 beta 5A240D.According to Gizmodo, press and hold the images you want to download will show a menu like above. Choose to save photo and it will be downloaded to the album. You will be able to grab your friends photo directly on the iPhone. Cool.

[via Gizmodo]