The two Terminal commands that can change the image format and save location for OSX’s default screen capture are:

defaults write com.apple.screencapture type image_format defaults write com.apple.screencapture location /Full/Path/To/Folder

image_format can be the following as of of my knowledge

• bmp (Windows Bitmap)
• gif (Graphic Interchange Format)
• jp2 (JPEG-2000)
• jpg (Joint Photographic Experts Group)
• pdf (Portable Document Format)
• pict (PICT)
• png (Portable Network Graphic)
• psd (Photoshop)
• sgi (Silicon Graphics Image file format)
• tga (Targa image file format)
• tiff (Taggged Image File Format)

To avoid logging out for the changes to take effect, you can enter the command.

killall SystemUIServer

There’s also a preference pane that can do this automatically, but it’s shareware.