According to the iPhone User Guide you are doing it correctly, http://manuals.info.apple.com/en_US/iphone_user_guide.pdf found on page 51:
"Save an attached photo or video: Touch and hold the photo or video, then tap Save Image or Video. It’s saved to your Camera Roll in the Photos app."
I would recommend starting with our iPhone Troubleshooting Assistant found here: http://www.apple.com/support/iphone/assistant/application/
I would start at step 3:
If only a single app has stopped responding or closes on launch, try the following:
- Return to the Home screen, and then click the Home button twice.
- Tap and hold on the app.
- When it starts to jiggle, tap the - to close it.
- Double-click the Home button and try opening the app again.
I had the same problem, than I have a solution.
Open your text message,
play the video,
tap on the bottom left icon (box with up arrow)
a list of options like Message, mail, facebook, vimeo... appears,
share it on Facebook or
tap on the icon below to save video (box with down arrow) to save it in your camera roll.
Open Camera Roll from your Iphone tapping the Photos icon.
Share it on your favorite website such youtube, facebook...
Hope it helps,