Can I save the images to a memory card when shooting tethered?
As of Capture One 22 (15.3.0) it is possible to dual-write captured images with supported Canon cameras.
This provides a convenient backup method, as well as enabling you to see and review the images on the camera display. This functionality is also available when using wireless tethering.
N.B. Enabling this feature will affect the waiting time when connecting the camera, as your operating system will index the content of the card. The more images that are on the card, the longer this can take.
Other camera brands
For all other cameras when you are shooting tethered, Capture One Pro / for Nikon / for Fujifilm / (for Sony) saves images to a chosen location, but it does not save images to the memory card because it could drastically slow down or inhibit the image transfer process.
You can choose a custom capture destination at any time by going to the Next Capture Location tool. The destination selected will be where your tethered images are stored.
Some cameras have the ability to save images to a memory card during the tethered shoot though. Those are Sony A7 III/A7R III/A9 and some Fujifilm cameras. This functionality however, is only fully supported with Canon cameras.
You may also want to use third-party software for synchronization to create the backup copies of images while shooting tethered.