The iPhone Webclip Manager will let you easily add a "webclip" icon that iphone/ ipod touch users can use as a bookmark for your site.
=Will changing my theme change this icon?=
Changing your theme or upgrading WP will not affect this icon.
=How big of an image should I use?=
You want an image at least 47x47 pixels. The bigger (and square) the better for this one since it will resize and automatically overlay the highlight when it's saved.