After you finish your flight. Press the play icon in your screen.
After you enter the Tello app Gallery, you will choose Select on the top right corner.
After that, you can either choose the pictures you want or hit the select all icon (checkmark inside a box). If you are on Android, they automatically get saved into your gallery. If you are on iOS, then you will get a pop up message at the bottom asking if you want to save into the Camera Roll.