The documentation is there:
http://owlready2.readthedocs.io/en/latest/world.html#persistent-world-storing-the-quadstore-in-an-sqlite3-fileJust do:
default_world.set_backend(filename = "/path/to/your/file.sqlite3")
And the quadstore will be stored in the given SQLite3 file (a new file is created if needed).
Then, call default_world.save() to save the quadstore on disk.