How to save pictures off Facebook onto iPhone?

Go to your iPhone/iPad device "settings", then go to "privacy", click on "photos", and switch Facebook to the on setting.

     

For new iPhone  after 3gs    
You can save the pictures while pressing on the Facebook app by holding for 3 sec. Now check the camera roll.

For OLD iPhone's

Just go to facebook through safari not the facebook app and you can just hold your finger on the photo for 3 seconds and save it.