Unfortunately you can't save them directly from an MMS - not sure why google choose this, but if you get 'Save MMS' from the market, it will do just that and save it into its own folder within your pictures. I think there is another app that does this as well but I dont know what its name is. However, if you have someone send it via gmail to your phone, you have the option of downloading it ( which is saving it) to your phone.
Hope this helps
T