Until you quite the Sage session, the file should be saved some place like .sage/temp/HOSTNAME/9348/sage.pdf (9348 is some random number). So if you don't mind having it open, it is available. I thought there was another way to do this, but I can't find a simple one. You can do:
sage: from sage.misc.latex import _latex_file_
sage: t = _latex_file_(s) # the contents of the file to be run through LaTeX
Or even better, mimic the effects of tightpage=True:
sage: t = _latex_file_(s, extra_preamble='\\usepackage[tightpage,active]{preview}\\PreviewEnvironment{page}',
math_left='\\begin{page}$', math_right='$\\end{page}')
Then save to a file and run PDFLaTeX on it:
sage: file = "/home/palmieri/my_file.tex"
sage: O = open(file, 'w')
sage: O.write(t)
sage: O.close
sage: from sage.misc.latex import _run_latex_
sage: _run_latex_(file)
--
John