Currently, Kuler does not support direct printing of themes. You can anyways, copy the theme to swatches panel(via kuler panel or through the downloaded ASE file) and use a product like Adobe Illustrator to create a document that can be printed using those colors. Alternatively, each theme within kuler has a URL(Referred to as Theme Link within a them description, when more info is selected in the website) that can be used to show the theme to a client. All public kuler themes are accessible via the URL in any flash supported browser or through the freely available Kuler AIR application.
I agree that there should be a simple way to graphically export the palettes and I'm guessing Adobe will add it at some point. The option I used was to simply take a screen shot using command-shift-4 to drag and crop a selection from the screen. I then pasted the screenshot into InDesign.