It would be great if PS ISE had a "Save All" files feature to save all open, unsaved files. This is considered standard functionality in most IDEs these days, and it is typically bound to the keyboard shortcut Ctrl+Shift+S. Basically the same functionality as Ctrl+S, just iterate over all open, unsaved tabs and do the same. PS ISE v3 does not provide this out of the box.
The PowerShell Team has blogged about how to create an add-on to get this functionality (http://blogs.msdn.com/b/powershell/archive/2010/06/05/save-all-powershell-ise-files-for-thor-s-sake.aspx), but this should be provided out of the box.