Oh bummer! I was under the impression that the iPhone SDK alone would allow you to atleast Debug directly on an iPhone... I don't yet have one but am planning on getting the 3G coming out soon. I just wrote a small little utility that really only I would ever use - I don't feel like paying Apple $100 for the privilege of being able to send my program to my phone... That seems a little ridiculous... Hopefully after it is released and the dust settles, there will be a way for you to possibly sign your app in such a way that it can only be sent to the iPhone married to your computer.
I guess I wish I knew this before spending some time writing this app in the first place (it's now done, just waiting to be put on the real thing). I think I would have been better off writing the application for a jailbroken phone.
[edit] After doing some research, it looks like it might be feasible to transfer a program written in XCode, built for the iPhone to a jail broken phone. I guess I'll be jail breaking my 2.0 phone (assuming the brilliant minds who brought the original jail breaks can continue with the 2.0 firmware)