if you want to save to your sd card then:
sudo mount /dev/mmcblk0p1 /mnt/mmcblk0p1
then you have the fat32 partition of the sd card which you can write files to using your python program
or
sudo mount /dev/mmcblk0p2 /mnt/mmcblk0p2
which will mount the ext4 partition instead, there you save files to linux filesystem, less supported so you can't just plug it into windows or mac without special programs that read the partition.
However if you have a linux desktop, this should be no issue.