Saving jpeg depth image from /camera/depth/image on Kinect

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You can get a depth image suscribing to the ROS topic and using OpenCV to save the file

    void kinectWindow::getDepthImageFromKinect(sensor_msgs::Image image)
{    
    cv_bridge::CvImagePtr cv_ptr(new cv_bridge::CvImage);

    if (frameCounter==6) {
    char numstr[21]; // enough to hold all numbers up to 64-bits
    sprintf(numstr, "%d", fileCounter);
    std::string result = directory + name + numstr + ext;

    cv::imwrite(result, (cv_ptr->image)*10);
    frameCounter = 0;
    fileCounter++;
    } else {
    frameCounter++;
    }
}

Just initializate as string directory, name (filename), and desired extension (ext) and be sure to suscribe to the right topic... You can check how to suscribe to topics here