I also have the same problem, specially when i try to save the Neural network toolbox (nntraintool) generated plots. I use snipping tools to capture those plots. However, please try to use the following one:
Identify the gfx object you need to snap-shoot (its handle). It will come from identifiable properties. Then you can use print option to save it to a file; you need to write the file name, the type; go to this link for more info (http://www.mathworks.com/help/matlab/ref/print.html).
For example, if you want to save the figure with the tag 'performance.fig', you may try:
h = findobj('Type', 'figure', 'tag', 'performance.fig');
for k = 1:numel(h)
print(h(k), sprintf('Pic%d.ps',k));
end;
let me know if this helps, You have to modify codes up to your need. I also got this help from another person in this stackoverflow forum.