I've tried tap & hold, like regular URLs, but the menu never pops up. Is there a way to enable that or do I just have to copy and paste the URL into a bookmark (like this)?
Here's the page I was trying to use: http://www.delicious.com/help/bookmarklets
You'll have to copy and paste. I don't know why the long click doesn't work, but I assume because the url doesn't start with "http".
I've found the easiest way to create bookmarklets is to do it on the PC and then import the bookmarks, or by copying the text of the js url to a text file, emailing or dropboxing it to my phone and then copying & pasting the text into a bookmark.
Installing WiFi Keyboard as suggested by GAThrawn made input much easier.