Hi
Like some other SAS clients (i.e. SAS EG) SAS DI uses the object spawner to start a SAS session on the workspace server.
There are several ways how to save your log - and it depends a bit in what environment you're working and what rights you have.
http://support.sas.com/onlinedoc/913/getDoc/en/hostwin.hlp/win-sysop-altlog.htm
Besides of proc printto there would also be the option ALTLOG (but you need access to the .cfg file).
As this is processing jobs in DI I assume it is about unit testing: I would use the printto options - or just "manually" save the log from within DI.
Another way would be to process the DI generated SAS code in batch - and all the logs are created as permanent files (you could even define where to save this log files).
HTH
Patrick