What do you mean it won't let you? That's the procedure to do it, of course it will let you. You should get actually get a small menu of actions you can do when you long press on the pic.
Try long pressing the pic when you have it open. That should bring up the menu.
alternatively, you could touch the pic to open the slideshow, tap on the screen once to bring up a menu at the bottom, and touch the bottom right one to save to phone, check the box next to the picutre, and hit done