IPhone :: Saving And Deleting Photos?

I know I am not using my iPhone correctly, but I am a busy mother and have been stacking up the photos on Camera Roll. I now need to delete some, but want to keep some to show friends.

1) How do you transfer photos from Camera Roll to an album using the phone?

2) When I sync and photos are downloaded from my camera roll I get a pop up asking if I want to keep or delete the photos on my phone. If I choose Delete, will it delete just the photos in Camera Roll, or in the albums too?

3) I have chosen Keep in the past and now have masses of photos on my camera roll. Short of using the curved arrow in the top right and selecting each photo individually, is there a way to delete multiple photos all at once on the phone (not on computer)?

4) Why oh why haven't Apple got a 'protect' button for individual photos so that you can keep a few photos in camera roll and delete the rest, like on a digital camera (yes I KNOW this isn't what Camera Roll is for...)