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If you just click the Save button in Mail, it saves to somewhere buried in the Mail folders in your Library, which is inconvenient. If you click and hold on the Save button, you get a popup asking what you want to save, and after you make your choice, you'll get the file chooser dialog allowing you to specify where it goes. Or, if you command-click on the attachment, you'll get a popup menu that offers you some options for how to deal with the attachment. Another approach is to drag and drop the attachment where you want it.