[Editor's note: This hint has been adjusted to reflect the much easier way of saving upgrades as discussed in the comments below. The original long technical way of accomplishing the same thing is listed in the remainder of the article.]
Here's an alternate method of saving the upgrade package. As it is downloading, find the updatefile.pkg.tar via the terminal in ~/Library/Caches/Software Update Cache/a/bunch/of/subdirs/ etc. For example, mine was in:
~Library/Caches/Software Update Cache/a1028.g.akamai.net/5/1028/(broken onto two lines for a narrower article)
3093/1/1a1a1a88ff63d249b72392f35785e65/
You may need to put quotes around "Software Update Cache", that is:
>cd "Software Update Cache"
Once located, make a hard link to the file and place it in some other directory (on the same partition). Example:
ln updatefile.pkg.tar ~/myupdateherdlinked.pkg.tarOnce the update has completed, it will delete the tar file ... but since there is a hard link the actual 30MB file is still there in ~/myupdateherdlinked.pkg.tar

