If you're talking about desktop-to-Droid transfering files, then you want to follow these steps:
- Connect your Droid to your computer via USB.
- On your Droid, drag down the notification pane and click the USB symbol.
- On your desktop (Varying from the OS that you have) it should bring up another window asking what you want to do with the device.
- Click "Explore through windows" or something similiar to that extent.
- Click and drag your pictures from your computer to the SD card.
- ???
- Profit.
But, if you're doing it through text messages, you want to press and hold not the picture preview (odd I know), but rather, the name of the sender of the picture to save it to your SD card.