In the context of the sample project in SDK repository you could use the Closing event. You could even cancel the event if you'd like to, for example:
sender, System.ComponentModel.CancelEventArgs e)
"Please save your work first."
Note that you may need to modify the logic to better suit your needs. In the example the isDirty property is set to false when the document in the editor is changed, whereas you'd need to set it when the current document is saved as well.
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