Putting a purchased song on my iphone. How?

I just bought and downloaded one song from itunes store. I want to put it on my iphone. My iphone shows up in the left column. I try to drag or copy and it doesn't work. If I use sync, it says ALL tunes on my iphone will be replaced. I just want to add one song! How hard can that be!? How do you get a song to the phone?