How would you propose to connect the iPod to the iPhone? The USB ports on both devices are target only, which means you can't connect them together. You'll also notice a lack of cables that have ipod connectors on both ends for this very reason!
Your computer will have to be involved. If your music isn't already on your computer, you can find a program to copy it off your iPod (like Senuti for Mac), import it into iTunes, then sync it to your iPhone.
-steve