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Take the screenshot then open it in preview. Under the file tab is the save as option. Go there and save as jpeg. Then you're done 🙂
 
Unless you have a good reason to need JPG I would suggest PNG instead. JPG is optimized for photos and will make straight lines, text etc on a screenshot look blurred.
 
jpg is a pretty bad image file type due to the up-sampling and down-sampling (conversion) of the pixels. use png instead.
 
Open Terminal and type:

Code:
defaults write com.apple.screencapture type jpg

Valid formats are: png, pdf, tiff, pict, bmp, gif, psd, sci, or tga

While you're at it you can change the path it's saved at with:

Code:
defaults write com.apple.screencapture location "typeyourpathhere"
 
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