I found this article on Compiling for your iPhone which i've found invaluable.
Once you've joined the iPhone Developer programme
Follow the instructions to setup your iPhone/iPod Touch so you can send your
app to it.
http://mobiforge.com/developing/story/deploying-iphone-apps-real-devices (http://mobiforge.com/developing/story/deploying-iphone-apps-real-devices)
Also make sure you have the latest version of the iPhone SDK installed, this caused me
a few problems.