What is the correct way to save and retrieve dictionaries in Julia?

You could use the JLD (Julia Data) submodule included in the HDF5 package:

Pkg.add("HDF5")
using HDF5, JLD
d = Dict(
    ("a", "b") => [1, 2, 3],
    ("c", "d") => [4, 5, 6],
    ("e", "f") => [7, 8, 9]
)
save("data.jld", "data", d)
load("data.jld")["data"]

the advantage of the JLD module is that it preserves the exact type information of each variable.