This is possible, but not exposed as a setting on the iPhone directly. Instead, you need to create a configuration profile with the iPhone Configuration Utility, and deploy it to the phone. It allows PIN requirements to be set, along with when to wipe the device if the wrong PIN is put in too many times.

*edit* Nevermind, it looks like it will allow the device to be locked out, but it doesn't wipe the phone. I couldn't find any specifics on how this works, so no idea what has to happen to unlock the phone if the wrong PIN is given too many times.