Sending a Facebook pic to just one Friend

you can post it on their wall, or send it in a PM...

If you want to share something that's already on facebook you can click share and you'll get a dropdown menu which will give the option to send it in a private message.
If it's a photo on your computer you can just upload it in a private message.

you can also share it to your friend's wall...

Yes, though sometimes new facebookers don't realise that other people will be able to see it as well. I've seen some very interesting posts that were clearly meant to be private messages.

Yes. Create a group with just that one person in it, then just share the photo with that group.