Adobe Story AIR application saves files on disc but not in a human readable form. If you want to save a script in human readable (XML) form then use File->Save to disk. Do note that the generated story document is just a snapshot and doesn't update automatically as you modify the original script in Story.
So how do I save the file locally - I also want to save as an .fdx so I can import into a Scheduling suite. Is this possible?
You can use the Export as Final Draft option. Go to File -> Export As -> Final Draft and then specify where on your machine you wish to save the .fdx file.
You can export to FDX from the File->Export menu
You can also create a schedule in Story. File->New->Schedule.