When I take a photo through my Mac's camera, is it saved anywhere?

No, but:

Presence in a web browser: You can save any image on the web, including these photos, by right-clicking (or control-clicking) on the image and choosing the save option. (Drag-and-drop often works as well.) You could then upload it to Presence or email it to yourself if you so desire.

Presence for iOS: Press the Save button to save it to your photo library.