if you long hold on a message it gives you a pop up with the option to "lock msg, forward, copy msg text, view msg details or delete msg"
as for saving a pic off an mms, just long hold the pic and it'll give you the option to "lock msg, copy attached to SD card, forward, view msg detail, or delete msg"
pretty much everything that i couldn't figure out i've held my finger down on it and something happened
if you're trying to figure out how to save sms's there is an app that i love called SMS Backup, it auto backs up all msgs to gmail