Exporting from the new PubMed to RefWorks can be done by following these steps (if you are using Legacy RefWorks follow the first four steps and then scroll down to the next set of instructions):
1) Select all of the citations you want in PubMed.
2) Click on the Save button in PubMed:

3)Under Format, click on PubMed then the Create File button:

4) Try saving the PubMed file onto your computer.
5) In RefWorks, click on the Add icon then Import References:

6) Select the file you want to import.
7) Select the Import button, and then which folder you would like the references to show up in.