Thanks, but the credit goes to Scott Edwards on that one.

If you have a PIC with an LVD (LOW VOLTAGE DETECT) pin. You can use it to generate an interrupt when it detects the loss of power.

Then you can imediately set all pins to input and shut-down any on-chip peripherals to save current.

You should be able to run long enough to save about 8-10 bytes with just 10uf or so..