Cool. I have the same phone. All you have to do is click on the pic and press the Option soft-key (the one that looks like a rectangular list). Then you'll see attached item. Click on it, check it off and it will be saved in the image gallery as a download once you do so.
To save a picture sent to you by MMS, navigate to the message and tap and hold the photo. Select Attached items from the options presented and then check the check box next to the image. Select Save and your photo should be saved to the SD card of your Samsung Galaxy.