First time I used ollydbg I asked myself the same question "How the fuck do I save this?" There are two answers :
1. Stop using a crappy debugger, I suggest IDA.
2. In the CPU window, there should be a registries section, to the left of that there is a large array of assembly code. Right click on a line -> Copy to executable -> All Modifications. A dialog will pop-up. Select "Copy All", another window will pop-up. Right click on a line of assembly code and select "Save File", and browse to a location you wish to save it to.