Hey Mark,
This is possible and very common, one of the submit options is to submit, or save, to a SharePoint Document Library. Once youset up the dataconnection, you can setup the submit button on the toolbar or you can add you own button and make it a submit type, or you can just create a rule on any button which submits to a dataconnection.
Go to Tools and Submit Options in your form designer.
Thanks for the question.