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I'm assuming you're using something like the following to determine what file you write to?

sage: o = open('stuff.txt','w')
sage: o.write(str(f))

If you specify a more complete path for the output file (something like "~/stuff.txt"), then you won't have to save the file through your web browser, you can just open it directly from your filesystem in the location you specify. Does this resolve the problem?

(Note: you can do this in the other case too, you just have to find out what temp directory the notebook is saving your files in when you don't specify a complete path. But I think my suggestion is easier.)