As a recent iPhone purchaser, I'm just learning about how all this works. I hate iTunes and still need to figure out why I can't get every episode of my podcasts to show up like they do perfectly in MC.
You select the Advanced menu then Subscribe to Podcast and enter your feed URL. Unfortunately the iTunes API doesn't allow direct manipulation of podcasts. I got MCiS working to a point where it would sync across MP3 podcasts to the proper place in iTunes, but other files (where MC will not write file tags directly - e.g. M4A) wouldn't work, so I shelved the work I'd done.
If you like you can edit a file directly using MP3TAG or suchlike ... the tags you need to add are;
ITUNESPODCAST should contain 0 or 1 depending on whether Podcast
ITUNESPODCASTDESC should contain the podcast Comment
ITUNESPODCASTID should contain the Episode URL
ITUNESPODCASTURL should contain the Feed URL
Once you've added these tags, when you add the file to your iTunes library it will be automatically put into the podcasts section.
I know, it's cr*p.