With the simulator you can use the Grab utility that comes with OS X. You can capture the simulator window or just a selected area. Save as a .TIFF file, then edit with your favorite photo editor (e.g. Gimp) to size, save as png and add to your project.
I am having trouble with this as well... I have a png file of the correct dimensions, and i've imported the file into my resources (and it is named default.png). It isn't showing up in the simulator or in my phone though. Is there anything else you need to do to link the image as your loading image?
Using grab is what I had been doing - is there a direct way to save a correctly sized screenshot (either via code or through the simulator)?
It is possible trough the Organizer window (xcode-window-organizer), but is only possible if you have a device connected (iPhone or iPod) and you build directly to the device.