I got a note back from the helpful folks that answer support mail at Omni. if you add a line the prompts you for the place to save it, it works fine. This has to do with sandboxing, and Apple's rules about what you can do from a sandboxed application. If I save my graffle file inside the Data directory inside OmniGraffle 6's Container (in my ~/Library), then my script works 100%, and can write the files with no effort.
So far I haven't found a way to do this outside the special sandbox area, and as far as I can tell, this is a deliberate security choice on Apple's part.
I found a reference on this page
https://developer.apple.com/library/...8/RN-10_8.html to using a fileURL type instead of a string type for the path, which may help, but I'm a novice at AppleScript and haven't yet figured out how to do that to see if it helps.