I tried the generic syncing with Facebook, but that imports all my Facebook friends into my phone's Contacts - not good - so I turned that off.
So I found this free app on the market called SyncMyPix. It's a little buggy I think. It didn't automatically link all my friends to my contacts, but it does save the profile pics in a cache folder. Go back into Contacts, edit the pics and point to the one saved in the cache folder.
It's a little hokey but it works. Has anybody come up with a better solution?