You can print a session with the File ▸ Print ▸ To printer menu item.
If you prefer to save the printed form as a file, use the File ▸ Print ▸ Preview menu item. You will prompted for a file name to save the printed form in; the file will be a PostScript file, so the name should end in .ps. If you only want to save certain levels in printable form, use the File ▸ Print ▸ Preview selected levels menu item; this file will be encapsulated PostScript, so the name should end in .eps.