You just need to select a destination database connection and table name and the export starts. Be warned that it doesn’t default to the current database connection. I’ve fallen for that and overwritten the data in a table with the same filename on a different SQL instance – whoops!
If the option is greyed out when you open the menu it may be that your event data is still loading. If you look closely in the above screenshot you can see I have over 8 million events captured by this session, so it took a while to load before I was able to export.
There are a few gotchas that Matthew shows, but it’s a useful technique.