Save Ethernet packets in .pcap format

It should be no problem finding a library for your favorite language

If your favorite language is a straightforward C derivative (C itself, C++, Objective-C), the library is called libpcap on UN*X and WinPcap on Windows; just use that. The API for writing capture files is a bit clumsy if you're not writing packets from a libpcap/WinPcap live capture or file you're reading with libpcap/WinPcap, you'd want to use pcap_open_dead() to specify a packet format of DLT_EN10MB (meaning "packets that begin with an Ethernet header"), and then use pcap_dump_open() to open the output file, pcap_dump() to write packets, and pcap_dump_close() to finish writing out the packets and close the file.

NOTE: if the output messages you receive do not have Ethernet headers, you can't use DLT_EN10MB. If they have only IP headers, use DLT_RAW. If they don't even have IP headers, you will need to, at minimum, put IP headers at the beginning, followed by headers for the transport protocols, e.g. TCP or UDP. I.e., do not assume that messages received at the application level can easily be put into pcap files without some additional work!

If your favorite language isn't a straightforward C derivative (C#, the "C" at the beginning of the name nonwithstanding, is not a straightforward C derivative in the sense that I'm using it), see, for example, the "Wrapper libraries" section of the Wikipedia page for pcap for information about wrapper libraries for your language. With those languages, much of what I said above still applies, but the way you call those functions may be different than the way you do so from code written in straightforward C derivatives.

In the case of Python, the Wikipedia page section lists python-libpcap and pcapy. Neither of them appear to have good online documentation, so I don't know whether either of them do a good job of supporting writing pcap files.