I am trying to save an item to an audit list prior to deleting it. How is this done in SPD 2010?
If you have SharePoint Server (not Foundation) you can turn on auditing on the list and set SharePoint to log an audit when an item is deleted from that list.
If you have Foundation, I believe your only option is going to be to use Visual Studio to write an event receiver to write an audit entry in the ItemDeleting event.
I wish I could tell you that you can use a SPD workflow that fires when an item is deleted, but unfortunately you can only fire one when an item is added or modified. Visual Studio is going to be the only way to pull this off.