You can save formats into format catalogs by telling PROC FORMAT what catalog to use with the LIBRARY= option of the PROC FORMAT statement.
You can either tell just the libref of the library to write into, in which case the catalog names will be FORMATS. Or you can give it the full two level name of the catalog.
Once the formats exist in a catalog to re-use them you need to make sure the FMTSEARCH option includes that format catalog.
Let's say you want to store the formats into the same library as the datasets.
Then the structure of your code to create the format library and the datasets might look like this:
libname mylib 'physical path';
options insert=fmtsearch=(mylib);
proc format library=mylib;
value fmta ....;
...
run;
data mylib.myds ;
.....
format var1 var4 var5 fmta. ;
run;
Then when you want to use that dataset in another session you just need to first repeat the first two lines so that the libref is defined and the FMTSEARCH option includes the format catalog.