Save files to a USB key.

Without rooting, I don't believe it is possible ... YET.

What I do is to use ES File Explorer and save to a shared location on my network ... which includes shared removable media. I've not tried it with a removable drive that wasn't installed when I shared it, however.

Indeed, I usually save to a single hard disk folder then move where I want it. I only share that one folder, and my backup USB hard drive.

 

You might want to look at the sticky 'Adventures in USB OTG'.

 

Least trouble would be to save them to the PC and then you can always copy them to a stick.

 

Root+stickmount=win