If you only want to save the waveform ,you can do this:
1,select all signals that you want to watch to wave window.
2,run the simulation
3,on the wave window you can find a floppy icon on the toolbar,you strike it ,then ask you to save a .do file.
4,quit the modelsim
5,in the directory where you run modelsim,you will see a vsim.wlf file, rename this filename you wanted.
6.if you want the recent simulation result ,you can just strike this file ,then you will find out the modelsim is opening if you are on windows platform.
if you are on linux or unix ,you can launch modelsim ,add wave window,then in file menu you can open dataset,then you chose the *.wlf. then run the *.do file.
Now all the wave can be opened!