I have been wondering how to get any pictures onto the iPhone simulator for ages and have thought one would need to sync it with iTunes.
But no, I stumbled over the solution by accident: One simply uses Safari on the iPhone Simulator to navigate to an image and the uses the built-in controls to save it.
Hint: to navigate to an image that you have open in your browser on your desktop, simply drag and drop the image (or the URL) to the iPhone Simulator. The same works for any image in the Finder!