All images received in Whatsapp are already stored in your phone, and they should show up in your Gallery app. Just go to the "Whatsapp Images" album (Audio and video are kept in a separate folder), select the image you want to save to SD card and just copy/move it.
This last process, though, might be a little different depending on what device you're using, but usually hitting the 'Share' button should present the "Save to SD Card" option.