The usual disclaimer here is that you need to be careful with Terminal, especially if you’re unfamiliar with its workings. Type everything exactly as it’s written, and note that most commands are case-sensitive (though, in this case, both “PDF” and “pdf” are acceptable).
See? Terminal’s not scary.
So to get started, open Terminal (located in Applications > Utilities) and type the following, then hit Enter:
defaults write com.apple.screencapture type pdf
Obviously, you can replace “pdf” in the command above with other formats if you’d like (such as tiff, jpg, or gif). To make the changes then take effect, you can either log out and log in again, or you can type the following into Terminal and hit enter to force the change:
killall SystemUIServer
If you’re worried about getting the Terminal commands wrong, you can copy and paste them from this article, too.
After doing so, you’ll notice your menu bar go a little wonky for a moment, as the SystemUIServer controls both screenshots and a lot of the Menu Extras (such as your Airport icon). It won’t take long for your menu bar to settle down and go back to normal.