Using the Terminal, enter the following command to change the location:
defaults write com.apple.screencapture location ~/Pictures
This snippet will change the default location of saving the screenshot to the Pictures folder. You can also set this location to any folder or volume on your Mac, just substitute
~/Picturesin this command to whatever you want. Once you've run this command, you'll need to restart the SystemUIServer (used to control certain interface elements in Mac OS X), by entering
killall SystemUIServerin the Terminal.
If you don't want to use the Terminal, many of the popular Mac maintenance utilities, including OnyX (free). TinkerTool (free), and Cocktail ($14.95), will allow you to change the location of snapped screenshots.
If you're snapping a lot of screenshots, changing the location can be very useful, especially if you're on a portable Mac with limited disk space. Each screenshot can sometimes be over 1MB in size, so if you're tight on space it can be a good idea to store your screenshots elsewhere, like on an external hard drive.
There's also a handy suggestion from our own TJ Luoma: redirect your screenshots to a cached/synchronized folder, like the Pictures folder on your iDisk (if you have iDisk Sync turned on) or a folder in your Dropbox, Live Mesh or SugarSync directories for instant screenshot sharing among multiple machines.