Yeah, that is annoying. I think you might have that option in iTunes on the sync. If you’re syncing to a MAC you can totally organize in iPhoto, but it’s a pain not being able to do it on the iPhone. E-mail is another thing that you cannot organize. Very frustrating!
You can’t add a new camera roll if that’s what you’re wanting to do, you have to put them on a computer to organize them and then reload them onto your phone.