The high link Pokemon are of course stored in the save file similar to like Mystery Gifts, as they both have a shiny check associated to their generation.
I expect them to be able to be extracted/backed up like .pgf's into some other file type. I expect it to be hard to find, as this file would only have the species, moves, and gender stored in its data as opposed to the many things wondercards have..
I suggest you have sav files before downloading a Pokemon, after downloading, and after catching, and comparing their differences in the save file