When you open the fsh file with fshx , the only possibility you have is to export the face as BMP or DDS or import the face as BMP or DDS , then you change the name of the fsh just to fit with the roster .
If I've understood the question correctly, he wants to know if there's a way a player appearance created through the in-game Create-a-Player can be exported to a .fsh file. If that's the case then I'd say no; at least, there's no in-game option to do so.