1. Create a new folder on your desktop called ss
  2. Open Terminal
  3. Type the following command (change mds to your own user name): defaults write com.apple.screencapture location /Users/mds/Desktop/ss
  4. Now type killall SystemUIServer
  5. Done

You can substitute ss for any folder name you'd like. If you want to revert back, follow the same steps above, but remove /ss in Step 3.

I found out how to do this here.