The safest way to avoid having embarassing escape into the open is to not take them at all. But if you can't help yourself, you should be armed with the proper tools to practice safe sexting. Snapchat is an iPhone app which will automatically delete picture messages you send to friends seconds after they view it.
According to the description you can set the app to eradicate itself anywhere from 1-10 seconds after the recipient views it. If they try and capture a screenshot, the app will alert you, but it isn't clear if it actually prevents people from saving the screenshot. And as the NY Times points out, there's nothing stopping someone from taking a photo of their screen (besides having an actual life). Still though, it's better than nothing, I suppose. [iTunes via NY Times]