You can also use joblib.dump and joblib.load which is much more efficient at handling numerical arrays than the default python pickler.

Joblib is included in scikit-learn:

>>> import joblib
>>> from sklearn.datasets import load_digits
>>> from sklearn.linear_model import SGDClassifier

>>> digits = load_digits()
>>> clf = SGDClassifier().fit(digits.data, digits.target)
>>> clf.score(digits.data, digits.target)  # evaluate training error
0.9526989426822482

>>> filename = '/tmp/digits_classifier.joblib.pkl'
>>> _ = joblib.dump(clf, filename, compress=9)

>>> clf2 = joblib.load(filename)
>>> clf2
SGDClassifier(alpha=0.0001, class_weight=None, epsilon=0.1, eta0=0.0,
       fit_intercept=True, learning_rate='optimal', loss='hinge', n_iter=5,
       n_jobs=1, penalty='l2', power_t=0.5, rho=0.85, seed=0,
       shuffle=False, verbose=0, warm_start=False)
>>> clf2.score(digits.data, digits.target)
0.9526989426822482

Classifiers are just objects that can be pickled and dumped like any other. To continue your example:

import cPickle
# save the classifier
with open('my_dumped_classifier.pkl', 'wb') as fid:
    cPickle.dump(gnb, fid)

# load it again
with open('my_dumped_classifier.pkl', 'rb') as fid:
    gnb_loaded = cPickle.load(fid)

What you are looking for is called Model persistence in sklearn words and it is documented in introduction and in model persistence sections.

So you have initialized your classifier and trained it for a long time with

clf = some.classifier()
clf.fit(X, y)

After this you have two options:

1) Using Pickle

import pickle
# now you can save it to a file
with open('filename.pkl', 'wb') as f:
    pickle.dump(clf, f)

# and later you can load it
with open('filename.pkl', 'rb') as f:
    clf = pickle.load(f)

2) Using Joblib

from sklearn.externals import joblib
# now you can save it to a file
joblib.dump(clf, 'filename.pkl')
# and later you can load it
clf = joblib.load('filename.pkl')