Here are the steps to save an NHANES dataset in Stata:
In this step, you will save the dataset demo _BP4.dta currently in memory to a permanent dataset, called BP_analysis_data.dta. This permanent dataset will be saved in the folder C:\NHANES\DATA which was created in the Download Data Files module. Please note that if your files have different names you must change the Stata code provided on the Download Programs & Datasets page accordingly.
Save filename [, save_options]
To check that your dataset was saved to the C:\NHANES\DATA directory: