In R, I have used the write.foreign() function from the foreign library in order to write a data frame as a SAS data set.
write
You can do it easily with SAS : just have a test with SAS/IML (proc iml) or IMLPlus (object oriented version) with SAS/IML Studio.
See this : http://support.sas.com/documentation/cdl/en/imlsstat/63827/HTML/default/viewer.htm#imlsstat_statr_sect004.htm
or download SAS/IML Studio for free : http://www.sas.com/apps/demosdownloads/92_SDL_sysdep.jsp?packageID=000721 This release of SAS/IML Studio provides the capability to interface with the R language.