It’s not hard, but it’s not obvious either. It’s a simple 3 step process

Step 1: Search for Terminal in Spotlight Search in the top-right menu bar.

Step 2: Open Terminal and type the following command: defaults write com.apple.screencapture location ~/Downloads

Step 3: To apply the changes, enter the following command: killall SystemUIServer

You are done! Test it out and make sure it worked. of course you can change your “Downloads” to any other folder you’d like.