A family of Microsoft word processing software products for creating web, email, and print documents.
Since you are using Office Web Apps, I suspect the default is saving to SkyDrive, yes. For the basics of Web Apps, take a look at http://office.microsoft.com/en-us/web-apps-help/basic-tasks-in-word-web-app-HA102843651.aspx?CTT=5&origin=HA102619009. The Save As command should let you save a local copy.