Connect your iPhone to your Mac, open iTunes if it doesn't open automatically and select the iPhone in the sidebar. Wait for it to sync (it probably will, even if you synced it 10 minutes ago). At the top of the iPhone page you'll see a button marked "Info". Select it and then scroll down the page The third item on the list is Calendars. Tick the "sync iCal Calendars" check box, select the calendars you want to sync and select sync again at the bottom right of the main screen.
That should work.
STP