I do this manually. Usually after several listens to the entire Discover Weekly I'll already have a couple in mind I want to hear more, and I'll pull these into my collection playlist.

On the other end though, some Monday mornings I pull up Discover Weekly and there's this soul-crushing moment when I realize there's a brand new playlist and I forgot to add some treasure I'd been listening to all the last week. I've lost one or two songs in this manner. But if they're still relevant to me in the future, I trust Spotify to eventually lead me back to them somehow. That's how crazy good Spotify is to me. :P

I once saw a service that automatically saves your Discover Weekly to a new playlist each week. I've done this manually to "snapshot" a few great Discover Weekly sets, but if I was a little smarter I'd use automated service to save me from those occasional regretful Mondays.

You can use IFTT to automatically archive the songs from the Discover Weekly playlist to another playlist.

I just drag them in my 'favorites' playlist if I like what I'm hearing.