Safari Developer Tools: How to Preserve Console Log Upon Navigation?
I don't know when this was added, but it is present in Safari on El Capitan (Safari 9.0). It works the same as in Chrome (right click in the console window and select "Keep Log on Navigation").
Update: As per Daniel Compton's answer, in Safari 11+ this is now under the settings icon as 'Console: Clear when page navigates'.
Update: The setting is now back to "Preserve log" in the Network tab in the developer console in Safari 14+
No, there is no such feature (in Safari 5.0 at least). Looking at some Google results, I don't think this feature exists in any Safari version.
In Safari 11.1.2 they moved it again(!) back to the Console tab under the "Preserve log" checkbox. The Network log has similarly moved back to the Network tab.
In Safari 11 they moved it to the Settings panel under "Console: Clear when page navigates". It also has a sister setting "Network: Clear when page navigates".