One of the age old techniques to save your device config is to simply issue a "sh run" (or equivalent on non-Cisco devices) and copy and paste the resulting output into a text file. This method certainly works in the absence of at TFTP server, but it's kind of a pain and when you have a few devices it becomes time consuming in a hurry.
In a Windows environment I use PuTTY. PuTTY has a built in feature that allows you to save the terminal session you're working on. At home I have a Mac. To that end, here's how I save configs if there isn't a TFTP server available.