Well you can't just connect them and transfer. However, that said, there are some programs out there that may be able to assist in this. I have not used any, so I can't say how good they are, or if they are safe, but they are out there.
You do have the option to connect your phone to a computer, and connect the iPod as well, and use iTunes to move music, but that would have to be music that can go through the iTunes program. If it isn't, as in if it is stuff you just downloaded from somewhere or copied off a cd you have, it may not allow the move. All you can do is try.