I didn't know about this feature, so i tried it immediately , but the generated file had no data.
This is what i did in my program :
DBGrid1.SaveToFile('myfile.txt');
And there's the complete output:
<?xml version="1.0" encoding="utf-8"?>
<CONFIG>
<grid version="3">
<saveoptions create="False" position="False"/>
</grid>
</CONFIG>
I used a DBGrid, and the dbgrid was populated with lots of records and columns.