Default location of screen dumps

Using the Terminal, enter the following command to change the location:

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~/Pictures in 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 SystemUIServer in the Terminal.

From macosxhints.com