Media menu, I didn't think to look there! I was hunting round the File menu. Thanks for the tip!
I'm on Fuse v1.3.5 and I don't seem to have an option for changing the file format for either snapshots or tape files. So I can save .SZX snapshots and .TZX tape files, but not .TAP, .Z80 or .SNA. Not to worry though, I can now save to tape which is progress :)