In OS X, you can change the default filename, filetype and location where the file ends up, with some Terminal magic.
To change the prefix (the default varies by language, in US it’s “Screen Shot”) open Terminal and type this:
defaults write com.apple.screencapture name "MacBook-Pro-SS"
To change the filetype of the screen shot. (png, pdf, tiff, gif, and jpg are available)
png is the default.
defaults write com.apple.screencapture type pdf
To change the save location to your homedir/ScreenShots/, you can type this
defaults write com.apple.screencapture location ~/ScreenShots/
When you’re done, type this to activate your new settings:
Confirm by taking a screen shot. Either by cmd+shift+3 (the whole screen), cmd+shift+4 (to draw an area to capture), or cmd+shift+4 and then the spacebar (for a complete window).