Brattoo Propaganda Software has introduced PhotoBee (http://brattoo.com/propaganda/) for Mac OS X. It lets you scan your iMessages for photos and movies, and then download them to keep them along with the rest of your photos.
With PhotoBee, you can select which contacts you wish to scan, as well as choose the destination to save the files. The app will scan through all your messages in iMessages and list all found photos and movies so that you can browse them and choose which ones to save.
PhotoBee requires Mac OS X 10.8 or higher. It costs US$7.95. A demo is available for download.