Software Update has a 'Save As...' command that will let you save packages to a location on your hard drive- quick and easy if your install fails for some reason, or if you want to be able to install across networked machines without spending the time downloading it from Apple's website [if the file has even been posted] or the software update system. The function will be greyed out until the installation is completed, and you must choose to save the upgrade before you quit Software Update.
[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/
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
Mac OS X Hints
http://hints.macworld.com/article.php?story=20011221104240170