Hi Spiros,
I am not up to date on the latest developments, but I don't think that feature is implemented yet. There is at least one related issue (nr
1693), and a slightly related question but in reverse (how to load a spydata file from a script) that has been asked on the mailing list before, see
here.
What kind of data are you trying to save? There are already a lot of tools available to save variables to disk, for example:
pickle or
NumPy has also a lot of routines for reading/writing arrays from a file. Alternatively, there seems to be a Stackoverflow question with answer that might solve your problem:
http://stackoverflow.com/questions/2960864/how-can-i-save-all-the-variables-in-the-current-python-session.