The Save message is what is used.
obj << Save( <filepath> );
Here is an example
Names Default To Here( 1 );
dt = Open( "$SAMPLE_DATA/Big Class.jmp" );
dt << Save( "$temp\deleteme Big Class.jmp" );
You will need to specify a separate Save for each data table.
The Scripting Index is a good source for the syntax of how to handle items such as this. The Scripting Index is available under the Help pull down menu.
Jim