You can email them to your phone. Phone picks up the email from a pop or imap
server, and when you read the message, you can save the attachement in the
proper folder in the phone.

For files smaller than 15k, you can transfer them via WAP browser if you have
a web server available.

for instance: http://www.chocolate.com/cake.jpg  as a URL in the WAP browser
will give you opportunity to save the image.

Of course, all those activities generate GPRS data transfer fees.