A while back I had to do something similar to download a podcast. The iPhone doesn't let you download apps or iTunes media (including podcasts) that are over 10MB in size over the cellular network. So I tethered to my MacBook, downloaded in iTunes, and synced the podcast back to the device.
I've run into that 10MB problem, too! I think I remember Apple's threshold was 100MB originally, and the 10MB one is just absurd. These solutions seem a little bulky, but the tethering is to the point it's pretty seamless. I just wish an iPhone 4 jailbreak would come out so I could go back to MyWi instead of paying AT&T an extra $15/mo.
Devs can get around this by downloading extra bits on first startup or heavily compressing big datasets and decompressing them on first startup. Only a handful do, but there are ways around it. It would be nice if it was just a warning instead of a strict rule.
