When the iPhone includes photos that were captured by the iPhone, it is also detected and treated as a digital camera when connected, so such photos are not included with the iTunes sync process.
If you use iPhoto for storing photos, you can use iPhoto for the import. If not, you can also use the Image Capture application located in your Applications folder to import these photos to the designated location on your hard drive.
How do I set it up in itunes so that the photos from the camera roll will be sync'd automatically each time??
You can't, but you can have iPhoto launch automatically when your iPhone is connected which will occur only when your iPhone includes photos that were captured by your iPhone. The import process by iPhoto or Image Capture is not automatic, but you can have either one launch automatically.