All you have to do is touch the picture that you want to save, but hold your finger on it. In other words, dont tap the picture. THis is called a long hold, long touch, long press...you get the idea.
Anyway, when you long press the picture, you will see the option for saving it. Once it is saved, you will be able to find it on your SD card, by way of your gallery or with a file manager app. You can then set your picture as wallpaper, contact pic, etc.
