Become a MacRumors Supporter for $50/year with no ads, ability to filter front page stories, and private forums.
It doesn't. It saves a receipt telling the OS what was installed but I do not believe that the entire package is saved anywhere.

Take a look in Library/Receipts (or maybe ~/Library/Receipts).
 
and for anyone that has read my thread about hte current problems i'm having, if those packages go missing, it is not good!
 
When you're in Software Update, always pick download only, or the other one to do with install and save or something (can't remember, on a windows computer atm and can't check). That way, they will always be saved. I do that so that I only have to download the packages once for both my macs.
 
Register on MacRumors! This sidebar will go away, and you'll see fewer ads.