As mentioned above, printing isn't the best solution. 😉
Depending what OS you have...
*nix: Set up a syslog daemon on a server well inside your perimeter, and point the syslog on your server to log events to the syslog daemon.
Windows: Sorely lacking in this area, but there are commercial packages available for activity here:
Run agent on Windows to convert security events to syslog events, then send to the syslog daemon as above.
Run scheduled job on Windows to dump the security log to file, and move/copy the file to another server.
Set an alarm to monitor the security log, so if it's ever cleared (event 517 IIRC) you'll get paged, emailed, etc...