If you have iMessages activated on your Mac, you can drag the note and save it directly wherever you want.

Use either of these two options to receive the voice memo on your computer and save it in the folder you want. There you can send your note via e-mail or iMessages (only available for Mac).

Click on the voice memo and then click on the share icon (with the arrow). Once you've finished recording your voice memo, give it a name and save the file.