Hey, why didn't anyone tell me about this one? :)
I was not looking for this, I was looking for someway to easily extract event durations without having to get my hands dirty with angle brackets (XML) and I stumbled upon the menu below.
It appears that you can easily extract "MDX Events" or "All Queries" to an .mdx file. Notice that there is also one for Extracting DDL events, so presumably you could extract the XMLA for a set of operations on the server or database so that you could wrap them up and reply them somewhere else. Could be a useful thing to tuck away in the old tool box.