Go to the Utilities folder and open the Screenshot app. 

You can also open the Screenshot app by pressing Command + Shift + 5.

Press Command + Shift + 5.

Click on Options.

Now either pick a folder that is listed, or choose Other Location.

If you choose Other Location you can navigate to the folder you wish the screenshot to go to, or create a folder if required.

defaults write com.apple.screencapture location /some/path/