You can do so in a lot of ways.
1) From the Gallery, tap and hold on one picture and then select all the ones you want to send.
2) Once you've selected all the pictures, tap the menu button and select SHARE.
3) Here you can select to either send via Bluetooth or via WiFi Direct to the other phone.
You can also turn S-Beam on in your settings in both phones, then with multiple pictures selected, just tap the tap both phones together back to back until you see the Transferring menu. It'll do the rest on its own.