In 10.2 there was a hack that allowed you to choose format of screen captures...
In 10.3 this hack stopped working, and I don't know any way to change from pdf-format...
In 10.4 screen captures are saved in png, and I don't yet know if there's a hidden preference somewhere to change it...
I've not seen any hacks that changes the default save location from Desktop to elsewhere...
But you know you can, by holding the cmd-
ctrl-shift-3/4 copy the screen capture to Clipboard and paste it directly into a suiting document of your choice...