By default, anytime you take a screen capture in Mac OS X it will save the screenshot file to the current users desktop. You can adjust where Mac OS X saves a captured screenshot to any other location, here is how to do this:
Launch Terminal and use the following syntax:
defaults write com.apple.screencapture location /path/
For example, if I want to have the screenshots appear in my Pictures folder, I would use:
defaults write com.apple.screencapture location ~/Pictures/
To have the changes take effect, you then must type:
killall SystemUIServer
So the next time you take a screenshot (or as Windows converts like to say, Print Screen on a Mac), the screenshot file will appear at the location you specified.
You can change the saved screenshot location back to the default setting by specifying the desktop again:
defaults write com.apple.screencapture location ~/Desktop/
Again, you’d need to kill SystemUIServer for changes to take effect.
