I was looking for an Applescript solution and noticed that there was an Auto Import command. It said it would start importing from the auto import folder.
So, I started poking around and inside the iPhoto Library is an Auto Import folder (iPhoto '09).
You can change where the screen shots are saved. I use [Secrets|http://code.google.com/p/blacktree-secrets/downloads/list] to set the destination.
First, right-click on the iPhoto Library and choose Show Package Contents. Make an alias to the Auto Import folder inside your Pictures folder (easy way is to hold down cmd+opt while you drag and drop). This also gives you a quick way to drag and drop photos into iPhoto.
Next, open up Secrets (it is a control panel) and choose the Grab library. Click on the spot to change the destination for Screen Captures and navigate to your alias to the Auto Import folder. Now, log out and back in.
Now, when you create a screen capture, it will be saved in the Auto Import folder. The next time you open iPhoto, anything in the folder will be imported.
To change the screen capture location back, just set it to whatever you'd like.
If you only want to do this for a few screen shots, you can fairly quickly import them into iPhoto by selecting them, hitting the spacebar for quicklook, and click on the import to iphoto button.
Finally, I'm not sure why the Auto Import folder is hidden inside the iPhoto Library (iTunes has one too). It might not be ready for prime time, but it seemed to work just fine in my limited testing.