1) you can double click on row with optimization results, or right click on the row, and then choose option "SET INPUT PARAMETERS"
Then go to ea properties and click "SAVE" just like any other set file. Of course you need to repeat this for each row which is really annoying.
2) you can do it programaticaly by programming custom function to save your paramters in txt file, set file is just a text file constructed by pattern:
parameterName=value/n
Thank you very much.
You welcome :)

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I ask to anyone to explane to me how i can save optimization results of an EA as SET file.
I didn't find helpfull notice about that.