What I did was I tapped the little options by the Home button on my phone and then I tapped on Share. I tapped whatever messenger I was using and then I had it sent to my phone. I just typed in my number and it sended it to my phone. Then, I tapped and hold the picture and saved it to my SD card. Hard to explain.
Well since were necroing this I wanna post my findings. Go to android market, and download the google app "Androify" now in your facebook app the one you have to download not HTC sense version when you click on a picture to view it hit menu. theres an icon that says "set as" when you click it it will give you an option "Gallery Photo" with the same icon as the "Androify" app. click that and it will dl it to your gallery. I erased the "Androify" app from my phone and the option was no longer there. then I re installed it and it was back again. See if it works for you. I have the new facebook timeline not sure if that affect it, but it shouldn't.
im using galaxy s3. It doesnt work in facebook app but if you use the browser (on your phone - I realise some of you are still confused) , tap the image and there should be a download option. This worked for me
As somebody said before all you have to do in order to save time and all these steps is download the app Androidify... once its installed you long press on the picture and hit "set as" and then it says "Gallery Photo" with the Androidify icon on it. You hit that and the picture is saved to your gallery, simple as that.
I have a nexus 4 and the long press option works in messaging but not on Fb pics, so I just Clicked on share than hit the messaging icon and texted it to my own number, than did the long press method where you press and hold the picture and it gives you the option to save it, no app required