I want to store the entire xml response in the specified location

Create a test case level custom property, say FILE_PATH and provide the value say 'c:/temp/myfile.xml'

Please use script assertion for the request test step.

//Check the response is not empty
assert context.response, "Response is empty or null"
//Save response
new File(context.testCase.getPropertyValue('FILE_PATH')).write(context.response)