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I prefer to use the jupyer notebook for exactly this purpose. If you invoke sage -n jupyter in a local directory, say ~/Documents/Analysis_Problems/, you can generate notebooks and they automatically correspond to files in your local directory. This works great in combination with version control systems like git. You can also call sage -n jupyter <filename> to open a specific notebook file from the command line. The best thing is that jupyter files are text files and that they are not limited to sage, but you can also have them with kernels for various other languages.