1 Long press on the image (off of the play arrow) you want to save from a text until the menu pops up.
2. Select Attached items
3. Check the attachment you'd like to save and press Save.
This image should appear in your Gallery under doanload (which is where it's saved).
If you'd like to move this to another folder, then...
1. Press the My Folders icon
2. Find the download folder as it would have saved there.
3. Long press the image you'd like to move.
4. Select Move
5. Move it into Saved pictures or any other folder you'd like to move it to by selecting the folder and clicking Move here.
Besides what was recommended above, you could also download a third party SMS application (I use Handcent SMS and love it). Makes picture messages come just as pictures, instead of slideshows. Then you can just LONG PRESS the pic and save it.