The following relates to an iPhone 4 in a 64 plate Panda, other models may vary.
A standard iPhone charging cable connected to the USB port works fine to get all the functionality via the steering wheel. My USB port is next to the little round AUX port but is covered with a little sliding lid with a Blue&Me sticker on it, I need to slide the sticker/lid back to reveal the usb port underneath and then plug the cable in.
If you're definitely wanting to use the little round AUX port (or don't have the USB port) then a standard aux cable should work connected to the port then connected to the headphone socket of your phone .... BUT .... doing it this way won't give you much control via the steering wheel, to play a song you'll need to open the music app on your phone, look for a song and press play on your phone. Want the next song, you'll need to press FastForward on your phone again etc.
So the USB port and a standard iPhone charging cable is the way to go if you want control via the steering wheel (presuming you have and can find the USB port in your car).
Hope this helps,
Mick