Yes I believe it works. I can show you several examples of it in action. The first SEO consultant I ever hired " Professor Dude " told me about 4 years ago to start using this technique because he believed it was a future factor in SEO. Guess what? The old man was right!
For instance - Check out the logo on this jacket search - This one of my favorite examples of this in action....
http://www.google.com/search?sourcei...orth+face+coat
Then check out our Webfu logo on this image search -
http://images.google.com/images?svnu...and+web+design
---> Subsequently our websites are #1 for both terms.
No its not just because we named our images with keywords. But we do believe naming an image the right way does help with seo... fortunately a lot people don't know that.