[Revisiting this answer because of downvotes without explanations.]
Apple has updated their article addressing this issue (Technical Q&A QA1622). If you're using an older version of Xcode, you may still have the article that says, more or less, tough luck, you can't do this without low-level parsing of the image data.
The updated version is here:
https://developer.apple.com/library/ios/#qa/qa1622/_index.html
I adapted the code there as follows:
- (void) saveImage:(UIImage *)imageToSave withInfo:(NSDictionary *)info
{
    // Get the image metadata (EXIF & TIFF)
    NSMutableDictionary * imageMetadata = [[info objectForKey:UIImagePickerControllerMediaMetadata] mutableCopy];
    // add (fake) GPS data
    CLLocationCoordinate2D coordSF = CLLocationCoordinate2DMake(37.732711,-122.45224);
    // arbitrary altitude and accuracy
    double altitudeSF = 15.0;
    double accuracyHorizontal = 1.0;
    double accuracyVertical = 1.0;
    NSDate * nowDate = [NSDate date];
    // create CLLocation for image
    CLLocation * loc = [[CLLocation alloc] initWithCoordinate:coordSF altitude:altitudeSF horizontalAccuracy:accuracyHorizontal verticalAccuracy:accuracyVertical timestamp:nowDate];
    // this is in case we try to acquire actual location instead of faking it with the code right above
    if ( loc ) {
        [imageMetadata setObject:[self gpsDictionaryForLocation:loc] forKey:(NSString*)kCGImagePropertyGPSDictionary];
    }
    // Get the assets library
    ALAssetsLibrary *library = [[ALAssetsLibrary alloc] init];
    // create a completion block for when we process the image
   ALAssetsLibraryWriteImageCompletionBlock imageWriteCompletionBlock =
    ^(NSURL *newURL, NSError *error) {
        if (error) {
            NSLog( @"Error writing image with metadata to Photo Library: %@", error );
        } else {
            NSLog( @"Wrote image %@ with metadata %@ to Photo Library",newURL,imageMetadata);
        }
    };
    // Save the new image to the Camera Roll, using the completion block defined just above
    [library writeImageToSavedPhotosAlbum:[imageToSave CGImage]
                                 metadata:imageMetadata
                          completionBlock:imageWriteCompletionBlock];
}
and I call this from
imagePickerController:didFinishPickingMediaWithInfo:
which is the delegate method for the image picker. (That's where I put the logic to see if there is an image to save, etc.)
For completeness, here's the helper method to get the GPS data as a dictionary:
- (NSDictionary *) gpsDictionaryForLocation:(CLLocation *)location
{
    CLLocationDegrees exifLatitude  = location.coordinate.latitude;
    CLLocationDegrees exifLongitude = location.coordinate.longitude;
    NSString * latRef;
    NSString * longRef;
    if (exifLatitude < 0.0) {
        exifLatitude = exifLatitude * -1.0f;
        latRef = @"S";
    } else {
        latRef = @"N";
    }
    if (exifLongitude < 0.0) {
        exifLongitude = exifLongitude * -1.0f;
        longRef = @"W";
    } else {
        longRef = @"E";
    }
    NSMutableDictionary *locDict = [[NSMutableDictionary alloc] init];
    // requires ImageIO
    [locDict setObject:location.timestamp forKey:(NSString*)kCGImagePropertyGPSTimeStamp];
    [locDict setObject:latRef forKey:(NSString*)kCGImagePropertyGPSLatitudeRef];
    [locDict setObject:[NSNumber numberWithFloat:exifLatitude] forKey:(NSString *)kCGImagePropertyGPSLatitude];
    [locDict setObject:longRef forKey:(NSString*)kCGImagePropertyGPSLongitudeRef];
    [locDict setObject:[NSNumber numberWithFloat:exifLongitude] forKey:(NSString *)kCGImagePropertyGPSLongitude];
    [locDict setObject:[NSNumber numberWithFloat:location.horizontalAccuracy] forKey:(NSString*)kCGImagePropertyGPSDOP];
    [locDict setObject:[NSNumber numberWithFloat:location.altitude] forKey:(NSString*)kCGImagePropertyGPSAltitude];
    return locDict;
}
See also Write UIImage along with metadata (EXIF, GPS, TIFF) in iPhone's Photo library