what you can do, is create a text variable. Throughout your workflow, append information to it, using the Build Dynamic String action.
Then, you can use a Send Notification action to send yourself an email. You can configure this action to add an attachment. Here you specify a new file, give it a name, and for the body of the file, you click on the Insert Reference button and insert your variable.
This should send you an email with a text file attachment.
If you want to create a file in a different location, like a shared path or document library, there are no out of the box actions to do it. You could create a custom action to do something like this.