Simply click and hold, then drag your cursor to anywhere in your file system that you want to save the file. Release the mouse button, and voilà! Your attachment is saved (for large files, you may see a progress dialog).
Downloads of files still go through the normal download queue.
Just about four months back, Gmail launched a feature to allow drag-and-drop attachments onto messages during composing of message. Like the just-mentioned feature, only browsers that support HTML 5.0 like Mozilla Firefox 3.6+ or Google Chrome 4+, 5+ will have this new cool feature.
Drag and drop attachments to save them to your desktop [via]