Can I save my free upgrade to Lion? I've bought a MacBook Pro 8,1 one month ago. Snow Leopard was pre-installed on it. Yesterday, I did the free upgrade, provided by Apple. I received a code for the App Store. I filled it in, and I got immediately the OS X Lion upgrade tool (after downloading). But is there a way to put the new OS&nbsp;X, on a DVD as backup?

Please, keep in mind that everything is legal.

Thanks.
From your question it is ambiguous whether you want to 

a) Be able to reinstall Lion in future, if, say your HD crashed.

or

b) Save your Lion install to prevent having to download it again.

or

c) Create a bootable install disk.

If a):

The Apple Recovery Disk Assistant will create a rescue disk for you on a USB drive. Follow this link:

http://support.apple.com/kb/DL1433

When you use it, the latest version of Lion will be downloaded from their servers. NB You do not need a copy of your Snow Leopard install disk to use this.

If b)

You need to save the "Install Mac OS X Lion" app which is downloaded from the app store when you install Lion. The other answer here by bmike will tell you how to do that.

if c) see:

http://lifehacker.com/5823096/how-to-burn-your-own-lion-install-dvd-or-flash-drive

Regarding legality: a) and b) are permitted by Apple, c) is probably not.