What you are looking for is the 'Save As [Memory] Dump' feature. You can find some more information on GreggM's Debugging Blog on MSDN.
Also, the current owner of that CLR memory dump feature is Jonathan Keljo. You can find his newly minted blog at: http://blogs.msdn.com/jkeljo/. Feel free to contact Jonathan via his blog and ask him for a detailed post - I know he'd love to talk about it some more!
Hope that helps,
Stephen
http://blogs.msdn.com/stfisher