Every time you make a new sketch, you will be prompted to save the file to Gallery automatically. You're supposed to be able to get the "New" menu option by swiping up from the bottom of the screen, but I think you'll find right-clicking the mouse to be easier.
Unfortunately, you cannot choose the location or format of where this gets saved, unless you purchase the desktop version I believe . You can find the image in your Pictures folder in its own Sketchbook folder saved as a PNG file. You can also open the charms menu and share right from the illustration or the Gallery.