Mapping XEvents to Trace Events by Jonathan Kehayias

The mapping is more complete in SQL 2012.

Regarding the results being discarded, that's true for some targets like the ring buffer. You can target a file too.

Jonathan Kehayias has an XEvent a Day series that is a great way to get started because it starts at the beginning. It was written when 2012 was still in CTP so most content is for 2008 but I haven't seen a better intro anywhere.