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Nope, and great question! Here is how you do it.

sage: L = [n^2 for n in range(10^6)]
sage: len(L)
1000000
sage: save(L,'my_long_list')


Now I quit Sage, and restart, and...

----------------------------------------------------------------------
| Sage Version 4.7.1, Release Date: 2011-08-11                       |
| Type notebook() for the GUI, and license() for information.        |
----------------------------------------------------------------------
sage: L = load('my_long_list.sobj')
sage: len(L)
1000000


Of course, this would work if you sent the file to another computer as well. See this part of the tutorial for more details.