defaults write com.apple.screencapture location ~/Pictures
This snippet will change the default location of saving the screenshot to the Pictures folder. You can also set this location to any folder or volume on your Mac, just substitute
~/Picturesin this command to whatever you want. Once you've run this command, you'll need to restart the SystemUIServer (used to control certain interface elements in Mac OS X), by entering
killall SystemUIServerin the Terminal.