sh

$ drush sql-dump --gzip --result-file=~/path-here/sql-dump.sql

I created my own shell script dump_db.sh to make less hustle.
Inside my dump_db.sh

#!/bin/bash

if [ -z "$1" ];
then
  echo "Please specify if its dev or prod" 
  exit 1
else
  dev="$1"
fi

if [ -z "$2" ];
then 
  echo "Please specify the database name"
  exit 1
else
  db="$2"
fi

echo "Exporting database"
drush sql-dump --gzip --result-file=~/backup/$(date +%Y%m%d-%H.%M)-"$dev"-"$db".sql

I would run this:

$ source dump_db.sh dev drupalista.net