The kernel already creates a dump for you if you enable that (you can sometimes see the progress of saving it on the bottom of a BSOD) and WinDbg can extract the last DbgPrint messages for you out of this dump. That's one of those parts the guys at Microsoft did well
A note about BSODs: The kernel still runs when a BSOD occurs, that's the reason why it can print to the screen and dump the memory. You can also connect to a NT machine via Null Modem cable and activate the built in kernel debugger. This debugger is also activated when a BSOD occurs, so you can debug around
(you might need a debug build of Windows to be able to use the kernel debugger, though)
Regards,
Sven