If you invoked the Save Session dialog from the Save Now button, it appears as described in Scheduling automatic session saving except that a default Session name: is provided and there is also an option Remember these settings . If this is selected, then when you confirm the saving the settings are remembered and used the next time this dialog appears.
Once you press OK to confirm, the saving starts. First all the IDE interfaces are destroyed in a way that makes it possible to resurrect them. Then multiprocessing is stopped. It then saves the LispWorks image, including an application bundle on Cocoa. While it is saving it prints messages to the console. Once it finished saving it restarts the IDE and all its interfaces. The pathname of the saved application bundle is printed to the background output as well.
If there is an error during the saving, you can interact with it via the console. There is a restart "Abort saving and restart the IDE" to allow you to return to the IDE.