4) Click "ok" and iTunes should start downloading the podcast files.
Then, the next time you sync your phone, just click on the Podcast you want to sync (on your iPhone screen) then "Apply" and "Sync" It will then move the podcast to the phone!
Listen and enjoy!
What I do when I'm done, is go back into iTunes (with the iPhone connected) and select the podcasts that I'm done with, highlight them and delete them. That will take them back off of your phone and free up the space.