ok, i could be completely wrong, but did you try saving the image to your iphone? i.e. press on the image in your texting thread, then save it to "camera roll"? and when you sync your phone with iphoto (assuming you have it) the photos in your camera roll including the one you saved from your texts can be imported to your iphoto library. i've definitely done this before.
sorry if that answer is redundant or unhelpful, i'm not an expert on this at all!