$product = Mage::getModel('catalog/product')->load($productId);
$urlToImage = "SOME URL"; //like http://www.diamondselections.com/Embed/client_assets/images/round@2x.png
$mySaveDir = Mage::getBaseDir('media') . DS . 'my_images' . DS ;
$filename = basename($urlToImage);
$completeSaveLoc = $mySaveDir.$filename;
if(!file_exists($completeSaveLoc)){
    try {
        file_put_contents($completeSaveLoc,file_get_contents($urlToImage));
    }catch (Exception $e){

    }
}else{
    //echo "FILE EXIST " . $completeSaveLoc . "<br/>";
}
try {
    $product->addImageToMediaGallery($completeSaveLoc, array('image','thumbnail','small_image'), false);
$product->save();
} catch (Exception $e) {
   Mage::log($e->getMessage());
}