you have to save the picture from the message first.
then the easiest way to do it is go to your downloads folder and drag it to your photo directory.
you can do this on a pc or on the device itself.
What Tony said When you receive the message click on the photo to view it. Once it is in the viewer you should be presented with an option to save it. If not, long press the photo in the message and you'll be given a list of options. Once should say "copy attached to sd card" or something similar to that.