It depends on where you play. Some sites allow for what's called "datamining" where you basically observe the tables and import the hands into your database. Some sites don't allow for this, but if you're at a site that does, that will be the easiest thing for you to do. (As you can only get data on people from their played hands, after all.)
It doesn't save the hands directly, you need a program called FreePHG, which google tells me is available here and it can save Party observed hands for you, at which point PT3 will import them.