In Lion you can take screenshots using the following shortcuts:

By default, all screenshots are saved to the desktop: /Users/<username>/Desktop

However you might want to set a different default location (e.g. ~/Documents/Screenshots). To change this, you can run the following commands in Terminal:

$ defaults write com.apple.screencapture location ~/Documents/Screenshots/
$ killall SystemUIServer

But we can make things easier by using the built-in AppleScript Editor to automatically switch location.

First open the AppleScript Editor, which can be found under Utilities in Launchpad:

Next, insert the script below (double-click to copy):

set answer to the button returned of (display dialog ("Screenshots folder location:") buttons {"Default", "Desktop", "Cancel"} with icon caution default button 3 with title "Screenshots Folder Location")
if answer is "Default" then
	do shell script "defaults write com.apple.screencapture location ~/Documents/Screenshots/"
	delay 2
	do shell script "killall SystemUIServer"
else
	do shell script "defaults write com.apple.screencapture location ~/Desktop/"
	delay 2
	do shell script "killall SystemUIServer"
end if

Click on the Run button to test your script:

You should get prompted to choose the location for your screenshots:

Select either Desktop or Default, capture the full screen (Shift + CMD + 3) and check that the image has been saved in the correct location. Once you are satisfied that the script works as intended, we can save it as an application to reuse it later on:

After you’ve clicked on Save, you can either double-click on the newly created app, launch it from Spotlight (CMD + space) or run it using your favourite application launcher every time you want to change the folder location for your saved screenshots.