Can you click on the pic in sms, and while viewing it, long press on it. Does a menu come up to save it? Or while viewing it, can you hit the menu button so a "save" option comes up?
If not, here is a link to your device forum to check out: Motorola Droid RAZR / RAZR MAXX - Android Forums
Let us know if that works and we can try to help you out