Answer:
When someone sends you a picture, just tap the menu icon at the bottom and you should see 'Attached Items' with a paperclip icon above it. Click that, then check the IMG so the checkmark turns green and click save. :)
Hope that was what you were looking for.
BUT I also have a question. My boyfriend sent me a picture and it's sideways. I want to set it as my background but I can't rotate it. Any idea how?