Thanks to the OpenFL community I found a way to save BitmapData as PNG images, here's the code:
// Creating a shape that we'll later save
var s:Sprite = new Sprite();
s.graphics.beginFill(0xFF0000, 1);
s.graphics.drawRect(0, 0, 110, 210);
s.graphics.endFill();
// Making a BitmapData from the Sprite
var image:BitmapData = new BitmapData( Std.int( s.width ), Std.int( s.height ), false, 0x00FF00);
image.draw(s);
// Saving the BitmapData
var b:ByteArray = image.encode("png", 1);
var fo:FileOutput = sys.io.File.write("test.png", true);
fo.writeString(b.toString());
fo.close();
The test.png file will appear in the package of the app, for example if you compile for mac: lime test mac
you'll need to right click the .app you've created, select Show Package Contents, go to Contents>Resources and the test.png will be there.
Please remember that targeting Flash won't work because Flash Player has no access to the file system.