iPhone support is currently only done via a 3:d party software.
It is called RemoteCalendar and is availible through Appstore. Current version 1.0.2 is only supporting read of caldav-calendars, but in the upcoming 1.1 you will be able to create new appointments.
Native CalDAVsupport in iPhone is announced in the next major software relase 3.0, which is said to come somewhere around june-july 2009.
More on 3.0 software can be found here