This is one of my favorite features for sifting through a large number of pictures.
However, it's become a pain lately anyway in that it doesn't work for images [maybe over a certain size?] stored in iCloud (unless it's already downloaded) which includes the desktop folder and therefore screenshots (because letting you store screnshots anywhere else by default would be logical and we can't have that). Nor does it show anything to indicate this, it just appears to randomly work or not work. I wish they'd send a lower res version for previews, or something, as more and more stuff moves to the cloud.
defaults write com.apple.screencapture location ~/Screenshots
killall SystemUIServer
There are a few handy things you can configure using defaults(1).I haven't looked to see whether there's a keyboard shortcut to jump to the next image. It's not up/down arrow.