Archive iCloud calendar
You can't selectively sync calendars on iCloud. If it's on iCloud, it goes to all your devices. You can however select which calendars get shown on a each device.

In iCal for OS X and Calendar for iPhone and iPad, there's a Calendars button in the upper right corner of each app. Tapping/clicking it will give you a list of all your calendars, grouped by what service they use (iCloud, Local, CalDAV, etc.). Simply uncheck the calendars you don't want to appear.

If you want to save a separate copy of one or more calendars as an archive, you can do that with iCal on the Mac. You can save either an iCal Archive, containing all the calendars in iCal as one bundle, or you can save individual calendars as .ics files. Both options are available under the File &#x2192; Export menu in iCal. Export… will save whichever calendar is selected in the Calendars pop-over menu as a .ics, and iCal Archive… exports all your calendars.