How to transfer photo sent as SMS to Photos/iPhoto.app
If you visit the conversation in your iPhone/iPad in Messages, click on the 'Details' button in the upper right hand corner, scroll down to attachments, then press and hold one of the photos you'd like to transfer. Select "More" from the menu that appears.

You should then see Apple's 'Select' arrows appear in the bottom of each attachment. From there, select your photos, and share them however you'd like (email all 6 or save them to your photo app).

Hope that helps!