create a data connection(submit) on your form, that will basically submit your form the the document library. to create data connections.
go to tools -> data connections -> add-> submit data -> to a document library on a sharepoint site -> specify your document library
and give the name by which this form needs to be saved. (you will need to use some function/formula that generates unique name for each form). -> next -> finish.
go to tools -> submit options -> check allow users to submit this form.
select sharepoint document library from the drop down and select your connection name from data connection dropdown.
now drag a button on your form and make it submit button.
to do so
drag the button on to the form -> right click and go to properties of the button and change Action type to submit.
now when users click this button, it will get saved to the location you want..