You can't, it just saves them automatically.
I was nervous about this at first, because I have 3 BlackBerrys that I use, and I want to have only ONE BBM list.
But as soon as you switch to the other BlackBerry you want your BBM list on, after you move your email account over to the new BlackBerry, you click on BBM and you are asked to enter your BlackBerry ID password. Then it says that it notices you are on a New Device, and it asks you if you want to Switch Device...you click Yes (or maybe it's OK), and then your list is loaded and your status is "Updated BBM."
This process works, I usually switch between my black or white 9900 and my 9810 once a day or every few days. I have never had any problems.