Saving SSIS package from server to local computer
TECHNICALLY, it can be done through the SaveToXML method. However, for this to work, the process on the SQL Server has to have write access to a share on your destination machine, and you have to specify the share when you give the filename. 

Other than that, I can't see a way to do what you are looking for. I was hoping that there was some way to get the package into an object in memory that you could manipulate - which, again technically, I guess you could do by saving the package to XML, then reading it from disk into an object, then saving the object locally. Neither of these options are really what you are looking for, but I believe that they are your only real options available.