You don't actually even need to do that. Just select the Birthdays calendar in the Info tab when your iPhone is hooked up to iTunes and synch it. Even if you are synching all your other calendars via MobileMe, you can now include subscribed calendars via the iTunes synch - it isn't an all MobileMe or all Desktop only affair anymore. The only downside to doing it this way rather than via the subscription method is that you don't get updates pushed to your calendar until you hook up your iPhone to your computer again.