You could also just convert them to MIDI files.
Highlight all MIDI items you want to save and rightclick -> Item processing -> Convert active take MIDI to file (ghost-copyable).
You'll find the files in the project's directory (or the path in Project settings, if set). The names will have a "MIDI nnn" suffixed but I guess it would be a good idea to give the items descriptive names before converting anyway.
Or you directly record as *.mid files in the first place. This can be set in Preferences->Media->MIDI: Create new MIDI items as: (check the option (.MID files").
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