Texture2D has a SaveAsJpeg method and a SaveAsPng method. Be aware that Zune does not sync pngs, so saveasjpeg is recommended

In April's CTP, you could try:

MediaLibrary library = new MediaLibrary(); library.SavePicture(“My Picture”, streamToJpegData); // You can use this from inside a Silverlight app provided you have the ID_CAP_MEDIALIB capability. // You do have to make sure the Stream you pass in contains JPEG file data, but otherwise it should work for you.