A direct sync between third party iPhone apps and iCal (or Calendar on the iPhone) is technically not possible at this time. We hope that in the future Apple will allow third parties to sync to-dos and calendar events with MobileMe. But right now you need a helper program running on the desktop that mediates between iCal and Things on the iPhone.
The Mac version of Things can sync with the iPhone version (more information on syncing). You can use the existing functionality of Things for Mac to sync your to-dos to iCal (requires Mac OS X Leopard).