The following code provides you with vertices and face indices from a D3DXMesh. You will have to write the code that saves it to file yourself, but that should be easy.

LPD3DXMESH m_pD3DMesh;

void MeshXWrapper::GetMeshData(int *pMeshVertexCount, dVector3 **ppMeshVertices,
                               int *pMeshIndexCount, int **ppMeshIndices)
{
    LPDIRECT3DVERTEXBUFFER9 pVB = NULL;
    m_pD3DMesh->GetVertexBuffer(&pVB);

    struct MY_FVF {
        float x;
        float y;
        float z;
    };

    void *pbVertexData;
    if (SUCCEEDED(pVB->Lock(0, 0, &pbVertexData, D3DLOCK_READONLY))) {
        DWORD numBytesPerVertex = m_pD3DMesh->GetNumBytesPerVertex();

        int numVertices = m_pD3DMesh->GetNumVertices();
        *ppMeshVertices = new dVector3[numVertices];
        unsigned char *pVBDataPos = (unsigned char*)pbVertexData;
        for (int i=0; i < numVertices; i++) {
            (*ppMeshVertices)[i][0] = ((MY_FVF*)pVBDataPos)->x;
            (*ppMeshVertices)[i][1] = ((MY_FVF*)pVBDataPos)->y;
            (*ppMeshVertices)[i][2] = ((MY_FVF*)pVBDataPos)->z;
            (*ppMeshVertices)[i][3] = 0;
            pVBDataPos += numBytesPerVertex;
        }
        pVB->Unlock();
        *pMeshVertexCount = m_pD3DMesh->GetNumVertices();
    }


    // Index buffer

    LPDIRECT3DINDEXBUFFER9 pIB;
    m_pD3DMesh->GetIndexBuffer(&pIB);
    D3DINDEXBUFFER_DESC indexDesc;
    pIB->GetDesc(&indexDesc);

    LPVOID pbIndexData;
    if (SUCCEEDED(m_pD3DMesh->LockIndexBuffer(D3DLOCK_READONLY, &pbIndexData))) {
        *pMeshIndexCount = indexDesc.Size / sizeof(unsigned short);
        *ppMeshIndices = new int[*pMeshIndexCount];
        for (int i=0; i<(*pMeshIndexCount)/3; i++) {
            unsigned short i0 = ((unsigned short*)pbIndexData)[i*3+0];
            unsigned short i1 = ((unsigned short*)pbIndexData)[i*3+1];
            unsigned short i2 = ((unsigned short*)pbIndexData)[i*3+2];

            (*ppMeshIndices)[i*3+0] = i0;
            (*ppMeshIndices)[i*3+1] = i1;
            (*ppMeshIndices)[i*3+2] = i2;
        }
        m_pD3DMesh->UnlockIndexBuffer();
    }

    pIB->Release();
    pVB->Release();
}