You’re right…there isn’t a way to save half way though.
You can save out the file you’re using in Photoshop somewhere else other than the temp file it saves to, but then you have to hit the exact same spot you had when you first projected the mesh to get the same set up.
Zapplink is meant to be the go between to set up textures without UV’s using photo reference, for the ease of use that photoshop’s toolset offers.
For what you probably want to do you need a good UV layout on your model. Then drop quick textures to the model using Zapplink to get reference or a great base/start. Then take that polypaint to a texture
tool>texture>“col>texture”
export out that texture as a .psd or whatever. Then open it up inside of Photoshop. You now have a baseline for textures and where certain aspects of the model are and how they deform based on your UVs (eyebrows, lips, etc). Now you have the option of using layers, layer styles, etc inside of photoshop, and you can save that file and reopen it at anytime to continue editing.
Inside Zbrush you simply need to import that .psd file into the texture file and it will override your current polypaint so you can see what your changes are doing. Or you can convert that texture to polypaint and continue editing it inside of Zbrush. It’s pretty much up to you how you want your workflow to go…that, my friend, is the beauty of Zbrush.
In order for all of this to work you will need an unwrapper and a good UV set up though. I myself use XSI’s tool set as well as RoadkillUV’s (great organic unwrapper).
I hope this helps with your questions about how to save texture stuff using Zapplink. Short answer, you can’t do it. Long answer = better work flow (if you ask me, which you did…so 
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