If you're using the Facebook app then there actually is no option to save the photo to your phone which is annoying. The only way to do it would be to take a screenshot whilst viewing the photo (power button + home button).
If you're using the People app to browse your Facebook feed then all you have to do is tap on the photo, tap on the three dots at the bottom right of the screen and tap the 'save to phone' option.
or if you are using the mobile facebook page, go to the image you want to save, view in full size and then long press on the image( it should give the option to save to phone)