To see all of the photos and attachments in a Messages conversation, just click Details. It's in the upper right corner in every conversation. You can click and drag anything from the Details view to your Desktop or folder, and double-clicking an image opens it in Preview.
OS X Yosemite's Messages app shows all chat photos grouped together
The Details view also lets you mute notifications for specific chats, start phone calls and FaceTime calls, and screen share, too.
This is a handy way to see images that otherwise would take a ridiculous amount of back scrolling in long conversations. Grouping in calling features, too, is just a nice little bonus.