If you are talking about Photo Stream, I'm pretty sure it only works when you have a wi-fi connection. Otherwise it could chew up your 3G data plan pretty quick. Since Photo Stream actually goes back to iCloud, and then to your other devices or computers, it is not necessary for both devices to have a wi-fi connection at the same time.
While Photo Stream is a nice way of getting photos to all your stuff eventually (a slow wi-fi connection like mine takes a while), sometimes you want them on you device now. For that I recommend either PhotoSync (no hyphen) or Bump.
I use PhotoSync. I've heard good things about Bump. You need these apps loaded and open on both devices (and in the case of PhotoSync you can also load a computer component). Photo Sync will work with both devices on the same wi-fi network, or over bluetooth (somewhat less reliable). I believe Bump has both options as well; but check to make sure.