when you click and hold directly on the picture, one of the options is copy attached to SD, they the file should show up in the gallery, or you can use Astro File manager to browse the contents of the SD card and look at it that way.
I use Handcent. I just verified that by doing a long press on the photo I receive the following:
Lock Message
View picture
copy attached to SD card
Call
Forward
Delete
View message details.
I checked the stock app and it has the same options.