If you don’t want to sign your app, i.e. have it available for the Market, then this is as easy as File/Export. But make sure you’re in Android mode (Cmd+D). Exporting will generate a directory called android and a file, AndroidManifest.xml. Copy both to your phone’s root (which just means your SD card – so the root directory is /sd). Then you’ll need to change the permissions on your phone in Settings/Applications – check “Unknown sources”. This is necessary for any app not in the market.
UPDATE: I finally switched over to the replacement phone I received about a week ago – and my unsigned app wasn’t showing up as it did before. I re-exported from Processing and restarted the phone and everything worked fine. Standard troubleshooting procedure, but it’s always good to note how often re-whatevering solves problems.
Signing an app for the Market is another story. Started looking into it, but will require a lot more research. Excellent resource for that:
AK Eric’s Android Adventures – thorough documentation of the Android + Processing process. And very cool app.