I am using Zeppelin sandbox with aws EMR.
Is there a way to download or save the zeppelin notebook in a way so that it can be imported into another Zeppelin server ?
As noted in the comments above, this feature is available starting in version 0.5.6. You can find more details in the release notes. Downloading and installing this version would solve that issue.
Given that you are using EMR, it looks like you will have to work with the version available. As Samuel mentioned above, you can backup the contents of the incubator-zeppelin/notebook folder and make the transfer.