1. Create a folder in My Documents to hold them. I call mine "My iPod Photos".
2. Create a subfolder in this folder for each album you would like to see on the iPhone.
3. Copy the photos you would like on the iPhone to the appropriate subfolder. I also resize them to 640x480 (optional).
4. Put the iPhone in the dock. When it appears in iTunes click on the iPhone entry on the left, then on the Photo tab on the right. Check the Sync Photos box, the browse to the top level folder (My Ipod Photos).
5. Click the Sync button.
From now on any photos or folder you add or delete will be copied to the iPhone.