You can definately save it onto the SD card. If you put the file in the top directory of the SD card, the file would be located in this directory. In my case it is /media/mmcblk0p1 (multimediacard Block 0 Partition 1)
You can use the nohup command. It does not close the session down, and it also would require you to connect first, but it does work.
You also can just run the python script, and print the output and it will go to the console. Of course that makes it difficult to do anything else with the console...