Syntax for drush command civicrm-sql-dump
If you run drush civicrm-sql-dump --help the output is:

Prints the whole CiviCRM database to STDOUT or save to a file.

Examples:
 drush civicrm-sql-dump        Save SQL dump to the directory above Drupal root. 
 --result-file=../CiviCRM.sql

Options:
 --data-only                               Dump data without statements to create any of the schema.             
 --gzip                                    Compress the dump using the gzip program which must be in your $PATH. 
 --result-file                             Save to a file.                                                       
 --tables-list                             comma-separated list of tables to transfer.


So since you want it in a file rather than on your screen, use the --result-file option and tell it what file you want to write to.