You can export references from PubMed to citation management software such as RefWorks, Zotero, Mendeley or EndNote. Some of these programs have a bookmarklet you can use to easily import one page at a time of references.
You can also export to RefWorks or other tools by choosing "Send to" - "Citation Manager." This will save a file with an .nbib extension which you can then import into your software. If you only want to export selected results, make sure to click the checkbox beside the papers you are interested in and click "Selection" when you are creating your file.

