I spent some time on this today. I found out two things to make this work.
1) For Oracle you need to make a Global temp table with preserve rows option. I am not sure what connection type you are using. But this was one of the things that was holding me up on this.
2) When using the Execute SQL activity it does execute the whole script but if you also want to export to Local Storage or publish it only takes the first statement.
3) If you separate your Execute SQL activity and Select to file you need to turn on the option to use "Connection on Startup". This option will use the connection opened on start up of TDP and continue to use this for all activities. If you don't have this option on the connection gets closed for each session and you will not have any rows.
I do think that the Execute SQL and Select to File should use the last statement and will enter a task for this
So I am able to do what you want with both of these items. i attached screen shot of this option and sample script.