Once a cursor is satisfactory, type 's' in the SAOimage window to save the current cursor to an internal list. The caveat is that these files do not have an embedded coordinate system. They make sense only relative to some reference image. SDE will attempt to read the image in the first line to find the coordinate system. So long as this image is available, all is well.
Problems can emerge if the cursor files are copied across directories.
A simple fix here is to edit the reference image specification in the cursor file to include a fully qualified directory. Alternatively, if the reference image is to be modified or deleted, one can use the task mask and mode SAO to produce a FITS image of the cursor file. This is independent of the reference, and if the MShrink option is used, need not be particularly large. The disadvantage is that window images, as opposed to the cursor files from SAOimage, must have the same cell size as the image on which they will be used. It is worth emphasizing again that the SDE window philosophy is that positions on the sky are selected.