You can save a volume simply by going to File>Save Volume, or File>Save Volume As if you want to save it under a different name. You can also click the Save Volume icon in the control panel.
If you are saving a new volume, you will be asked to name it and will be able to change the directory in which it is saved.
If you have multiple volumes open, click the name of the volume you wish to save in the toolbar so that it is highlighted in blue, and then save.
Be sure to wait until the volume has finished saving before exiting Freeview! It can take up to a minute or two. The blue loading bar in the bottom right hand corner of the window tracks Freeview's progress, and the terminal window will say "filename.mgz has saved successfully."