Hello! This is Noah with Verizon Wireless, hope you are having a great day?
On a Droid device like the LG Ally you can open the message containing the picture, then touch the picture and hold on it 1-2 seconds, then you will get menu to save the picture. You then can save the picture to the gallery by pressing gallery or selecting to use another application.
For Video messages follow these steps:
From the main screen, touch Messaging Do not play the message, touch the outer perimeter of the video and hold, then select copy to SD card