Wallpapers can be downloaded and used directly from your iPhone's Safari app. However, to speed up web browsing Safari optimises images so they are reduced in both data size and quality. When tested a 106KB wallpaper was reduced to 51KB.
Although it is recommended to use images optimised as wallpapers for the iPhone, such as all those found on my-iGuru.com, any image of a reasonable physical size will do. Wallpapers on the iPhone measure 320 x 480 pixels.
Step 1 - Save a Wallpaper to 'Camera Roll'

Open the 'Safari' app and navigate to a web page where is an image you want to use as a wallpaper. Press and hold your finger on the image and a pop-up menu will appear. Select 'Save Image' and the image will be saved in your 'Photo' apps 'Camera Roll'.
Step 2 - Setting A Wallpaper Image on Your iPhone

On the iPhone 3GS and iPhone 4 you can set an image for the Lock Screen and your Home Screen. On the iPhone 3G you can only set an image for the Lock screen.
The Lock screen wallpaper also appears when you're on a call with someone you don't have a contact photo for.
Set Wallpaper iPhone 3GS and iPhone 4
In Settings, choose Wallpaper, tap the image of the Lock and Home screens, then scroll down and open the 'Camera Roll' album.
Tap to choose an image. You can drag to position it and pinch to zoom in or out, until it looks the way you want.
Tap Set, then choose whether you want to use the photo as wallpaper for your Lock Screen, Home screen, or both.
Set Wallpaper iPhone 3G
Choose Settings > Wallpaper. Scroll down until you see the 'Camera Roll' album. Open the folder and the wallpapers you have downloaded will be shown.
Tap to choose an image or photo. You can drag it to position it and pinch to zoom in or out, until it looks the way you want.
Tap Set Wallpaper.
Note: As all of the my-iGuru.com images are optimised for the iPhone there is no need to move or scale the image.