OutSync copies photos of your Facebook friends to our Outlook contacts. The utility is free and does its thing quickly and efficiently. After you install it and run it the first time, you'll need to give OutSync permission to access your Facebook account. It displays a list of all your Facebook friends and lets you selectively choose which ones to sync with Outlook.
The name is a little misleading, because it doesn't really keep anything in sync -- you'll need to run OutSync occasionally to see if new friends have shown up, or if their pictures have changed and you want the images updated in Outlook. But it's a stupid-simple way to get the most like source of headshots into Outlook, and by extension, your phone.