How to save search results?

It would be possible, you just need to implement the import function. You probably would need something like the MARC module to assist in this process.

I'm thinking that this is something outside of the module's current scope. This would require custom code to create and update nodes, and something that I'm not sure could be easily extracted based on the preferences of different implementors who need this functionality. The MARC module and the Millennium integration module are good models for implementing this sort of behavior. I might make a helper module to get z3950.module to play more nicely with the MARC module, but only for the 6.x version.