If someone does send you an MMS though, you get an SMS notification from O2 that let's you view it with a desktop browser at
http://www.o2.co.uk/m/ so you can view inbound messages there and save images that way.
But if you're using your iPhone you can always hop over to
http://iapps.co.uk/o2mms/ instead of
http://o2.co.uk/m/ - works much better Wink
You will be able to download Images from the web from June when the 2.0 software comes out, I think it's like activating the wiggling icons on the homepage, hold down on an image and you will get a page curl with the options of viewing the image separately or downloading it to the photos folder.
Now if only 02 would make a decent web interface that was iPhone compatible that would be nice and not like the pain in behind version we have to use at the moment.
All it would need would be a simple login screen
a list of messages click on the one you want then takes you straight to the photo
this might work , but thats one way ..incoming
Also i have find a neat trick with o2
SMS Delivery reports.
Put *0# at the start of each SMS message.