You can use
%history -f my_session.sage
This saves all the sage commands typed during your session in the text file my_session.sage. Then, you can load this file in a new Sage session by
%load my_session.sage
In the Jupyter notebook, this loads all the saved commands in a single cell. In the Sage console, you will have to press Enter at the prompt ...: to rerun the commands and possibly enter n to the question
File u'my_session.sage' exists. Overwrite?
This occurs because the %history command has been saved in the file my_session.sage and therefore is run again when you load the file.
An alternative is to use %attach as described in @John_Palmieri's answer.