Though we don't have a way to export a group of documents right now, you don't need to open each file on your desktop first either. Click on a document that you want to save to launch the preview, and then click the "Save As" button. In IE this launches a dialog that asks you if you want to Open, Save, or Cancel. Just click Save, and then choose where you want to save it. I realize this is still more manual than you'd like it to be, but it should save you some time over opening files on the desktop each time.