You could have emailed the photo to an email account that the phone could access, then when viewing the mail on the phone press and hold on the photo which brings up the "what do you want to do with this photo" menu. Tap save and it ends up in the photo app.

Yes, a bit roundabout but IMO less hassle than plugging in for a single photo. I don't particularly like iTunes dealing with getting photos on my phone but OTOH it's sufficiently seamless that I actually do have recent photos of Chloe on there that I would have if I had to manage it manually...