As for saving: Use command-shift-4 and select the artwork (or cmd-shift-4 to crop it out later).
EDIT: hmm, i look stupid now, don't i
As for iTunes screensaver: I don't know wether it will look for podcast artwork, nor if it would show you one or all of the different artworks in there. You could always use the artwork you got by the above method and assign them to a track in your library. Maybe to a 1k mp3 file or something. That will make it show for sure.
EDIT: still not a bad idea.