Well then forget about the JFileChooser and first learn how to write to files by hardcoding the file name. Then once you understand that you can use the file choose to get a dynamic file name because the writing to the file code will be exactly the same.
I don't see whats wrong with the code you posted, but if you need help then:
a) I suggest you read the section in your text book because I'm sure it has working examples.
b) If you don't have a text book then you can find example I/O examples in the
Java tutorials..
If you need more help post your
SSCCE.