How do I keep a copy of a video I just watched?

This happens automatically.  Files you download are automatically copied and stored in your Downloads folder, or whichever folder you have specified to be your default.  To see the copy of the video you just downloaded, open the folder where it’s stored.  You can do this manually from Windows Explorer, or just click on the torrent in your Torrent Feed, then click Folder to reveal the video file.