I think Dune misunderstood you and thinks you are referring to the old "planetary shader" from early versions of Terragen 2.
What I think you are talking about Anthony is the Terragen Classic "TGW" file. The equivalent in Terragen 2/3 is a "TGD" (.tgd) file. The TGD file saves all internal world parameters, including everything you mentioned (atmosphere color, surface map colors, etc.). It does not save externally loaded terrain, object, or image files, but neither did TGW files in Terragen Classic.
You can also save separate components of the scene in a more fine-grained way as "clip files". The only equivalent to this in Terragen Classic would have been the saving of separate .ATM and .SRF (atmosphere and surface) files. But in Terragen 3 you can save any combination of different shaders/nodes as a clip file and re-use it later.
All of this is managed from the File menu or the toolbar buttons on the top of the interface (saving and loading .TGDs).
- Oshyan