According to CNET they do cache it:
"They cache the route selection after you input a destination, so it's stored locally and you won't lose the directions if you lose the connection. If you want to deviate from the route without a connection, you're sort of screwed, but that's not any different from other cell phone navigation apps, as opposed to portable GPS devices with more storage."
From here: http://news.cnet.com/8618-30684_3-10384544.html?communityId=...