Hi Andy,
I dont believe there is an easy way to save with a variable date in EG to a local drive. Rumour has it may be possible via macros but i've personally not managed to figure out how as yet.
You can do it if your export is to an server location already assigned to SAS (e.g. where your work files are located). You would maybe need to speak to your sas admin for the location if your not sure where it is. Wish I could help you more but im not 100% sure on how to but thought I could point you in the right direction.
Cheers!