Like Cantankerous said, the HALion state will be saved with your Cubase project.
You can also use the “Save Multi-Program” (which contains all programs in the 128 slots) as well as an individual “Save Program” (one of the 128 slots) or even smaller components (e.g. Layer).
Save Multi-Program is the little disk found under the HALION 5 “logo” on the “–Default–” screen set.
The individual Save Program can be found in a few places. E.g. right click one slots in the “Program Table”, or right click on a program in the “Slot Rack”.