Go to Spotlight (magnifying glass icon in the top right) search and open terminal (or your choice of shell). From there input (with the relevant path you want to store screenshots in):
defaults write com.apple.screencapture location ~/Pictures/Screenshots
It’s as simple as that! If you’re as trigger happy as me with cmd +Shift+4 for screenshots then you’ll find this a godsend in terms of not cluttering up your desktop.
Super handy if your work doesn’t permit the use of app like Skitch.