Screen captures aren't saved in Preview. They're saved to your drive. Preview is simply one of many apps you can use to view images, whether they're from screencaps or other sources.
To change the default format for screencap images, type the following in Terminal.app:
defaults write com.apple.screencapture type jpg
To change the default folder for screencap images, type the following in Terminal.app:
defaults write com.apple.screencapture location "/Users/username/Desktop/" (or whatever path you prefer)