Saving compositing-steps as Multilayer-EXRs is only possible by using the composite node and setting the global file type for the rendering output to Multilayer EXR. Then, only the 3 inputs of the Compositing-Node are available.

In a lot of cases though, it would be interesting to
a) set the global output to a movie format or something similar for a preview and still save the pre-composition render result as Multilayer for later, refined compositing
b) save some steps or the final result of a compositing as multilayer.