Update: I think that my answer is not optimal anymore, thanks to this other answer from Gurpartap Singh (where cmd+S directly saves the image to your desktop). I’m not sure from which version of the iOS Simulator is this possible, but it’s better and faster!
You can also try cmd+ctrl+C while in the iOS simulator. Then open Preview or an image editing program and try cmd+N (the image is in the clipboard).
Edit: According to apple’s new guidelines we need to provide high resolution screenshots. For that go to Simulator->Hardware->Device->iphone(Retina). You will be able capture images in 640 × 960 using cmd+S .