I think the app is called handcent you need to do this..
I think you do need an app to save mms because before I had handcent, just doing the long press did not allow me to save pics from a mms. If you don't wanna use handcent I downloaded an app called save mms that did the trick. Whenever someone sends you a pic it goes straight to the app. Open the app and from there you can save it. I liked it.