Files sent to you by clients through communicate are automatically saved in your root file directory in that Smokeball matter. 

Do I just have to keep going back to the Communicate tab to see the attachments, then?  I want to save them as individual JPEGs or PDFs so that I can find them in a folder for photos when it comes time to produce for discovery.

@Jillybeanstl - No, files sent to you by your client through communicate should appear along with your other matter files as stated above. If that you cannot locate them you may want to call support so they can login and show you what I am referring to. 

Hello Jillybeans!

Jonathan is correct.  The files will automatically save into your Documents section of the matter.  They will appear unfiled so you can direct us what folder you want to place them in.  You can either drag and drop or right click and use the move to folder option.  I also like to use the communicate filter in the documents section to see new files that have come in.

@Sara Sultan I did not realize there was a communicate filter. Thanks for the tip.

Thanks.  I contacted support. Good news--I am not crazy.  The attachments indeed did not download to the root file.   Support could not get the files to download either.  They had to be saved to my desktop and then dropped and dragged into the file.  It had something to do with the fact that the client sent the attachments as a link to a site where the photos were stored, rather than a true photograph.  

That makes perfect sense!  Them sending a link would not automatically save to the matter.  Thank you so much for posting the follow up here for others!

I have had the same problem and have had to save the files locally and then drag them into the file.