You can turn off media auto-download, but that's about it. If you send an image that is not already on the phone (I. E. The camera from a chat), it will save the picture and then send it. No way around it. For media that you receive, if you want to see it, you Must download it and It will save to your phone or you will just see the blurred-out thumbnail. Annoying? yes. But that's the way it is with WhatsApp. Main reason my friends and I switched to Telegram, actually