Your roster is saved on the Jabber server, and usually not in the client. However, you might want to save the roster to a file anyway. The most common reason for this is probably to copy it to another account.
To export your roster to a file, type M-x jabber-export-roster. A buffer will appear in which you can edit the data to be exported. Changes done in that buffer will not affect your real roster.
To import your roster from a file, type M-x jabber-import-roster. You will be able to edit the data before importing it. Items not in the roster will be added; items in the roster will be modified to match imported data. Subscriptions will be updated.
The format of the roster files is the XML used by roster pushes in the XMPP protocol, in UTF-8 encoding.