What is the location of background image set from Safari?

Safari allows you to set any image as desktop background right from the browser.

Desktop & Screen Saver preference pane will then display it as Safari Desktop Picture.

No filename, no location, and if I change it, seems like the picture is lost.
I find it frustrating because, although I frequently change wallpapers, I'd like to keep each of them.
I could as well download the file manually but isn't this what Use As Desktop Picture exists for?

So, the question is:

Where is this image actually stored on my hard drive?
How do I retrieve it?

Open ~/Library/Safari/.
It is there, called Safari Desktop Picture.jpg (or whatever the extension is).

If you're on Lion, to get to Library folder you may open Finder, select Go from the top menu and hold ⌥ Option. The normally hidden Library menu will reveal itself in the folder list. Open it, and proceed to Safari subfolder.

If you're not on Lion or just prefer the quick way, open Finder, press ⇧ Shift + ⌘ Cmd + G to open directory prompt and paste ~/Library/Safari/: