Well if you are checking your mail from an iPhone that means most lkey you are checking it on a computer too. In that case just when you go to sync it, just grab it from the mail on your computer and import into iphoto and sync iphoto with your iPhone. Sounds cumbersome but it really isn't.
I agree. The only way I have found to get pictures is syncing them through a pc. I haven't spotted any kind of save feature on the phone itself. It won't even let you move pictures around into different folders either.