If you shoot a lot of screenshots they can quickly fill up your entire desktop. Here’s how to change where they are saved to:
Create a folder where you would like them saved – say ~/Pictures/screenshots/
Open the terminal and type:

$ defaults write com.apple.screencapture location
don’t enter a “return” yet.
Drag the folder you just created to right after the word “location” and it will fill in its own correct path there.

You should now see something like:
Last login: Tue Sept 17 15:05:42 on console
Your-Mac:~ yourname$ defaults write com.apple.screencapture location /Users/yourname/Pictures/a_screenshots

Hit the return key.

Type killall SystemUIServer
and “return”.

Your-Mac:~ yourname$ killall SystemUIServer
Your-Mac:~ yourname$

Test it with a new screenshot (command-shift-3 or command-shift-4-click/drag). If it still saves to the desktop, the path was entered incorrectly.