The answer for this is here, but spread out over several answers so here's everything in one handy place.
Works for these options:
- Shift+Command+3 - creates a separate file for each active screen. Basically a file for every monitor attached to your system.
- Shift+Command+4 - Allows the selection of an area to capture to a file.
- Shift+Command+4 then press space - Allows the capture of an open application window.
Does not work for Control+Shift+Command+4(3) as these key combos put the screen shots into the clipboard.
Open terminal (or your favorite terminal emulation program) and follow the steps below:
defaults write com.apple.screencapture location ~/Desktop/Screenshots
You can replace the location with something other than ~/Desktop/Screenshots if you prefer. The directory has to exist or you will get an error saying that you do not have permission to save files in the location where screen shots are stored.
I would like to add that Shift+Command+5 shows an on-screen menu that allows more fine grained control of what is captured and where. For example if you wanted to include the Command+Tab screen you could set a countdown timer to accomplish the capture.