I prefer saving them all, this way, I can just do a simple 'search' rather than have to generate to a target.
Searching > generation.
But the vanitygen does ~10 million keys per second, if you use your GPU. That's too much to save.
Why not save 10 million keys per second? I have SSDs and RAM [to use as a buffer] and plenty of hdd storage.
It's like having pre-computed keys [rainbow table] vs waiting to calculate the keys when you get it.
Sometimes it's just better to have the pre-computed keys.
Mind you, I'm just using my CPU, because it's idle. >.>