To save out a picture of the game running, interrupt the game, open the disassembler menu, the Save submenu, and go over the Screenshot item.
The screenshot can then be saved as a sprite in the normal way. Usually you will want to keep the 'With palette' option on: this means that the colours used by the game will be saved with the sprite.
However, some (usually older) games do not use the normal RISC OS palette, instead programming the video controller themselves. In this case, the palette will be entirely black, so you won't be able to see anything. If this happens, save the sprite without a palette, and try to work out what the colours are supposed to be manually.
Saving the game state
Using the in-game features