You get a high-quality image by saving as either bitmap or tiff file. The jpeg rendering in SE leaves a lot to be desired. Once saved as tiff (which I usually use) you can convert to a jpeg image with another program (I use Irfan View). This results in a much better jpeg image than saving direct from SE. I also click on options and set the width and height higher to give a larger image (if maintain aspect is clicked you only need to change one). Change larger one to 2000 pixels or so - you can always rescale in the other imaging program.
A handy tip is to change the size of the SE window to show only what you want the inage of - this eliminates any excess image area.
Sorry, are you using Unigraphics? I was talking about Solid Edge. Same company, different program. I haven't used UG in a long time and didn't do any rendering with it so can't help you with the anti-aliasing. It appears that Solid Edge doesn't have an option for that. But since my advice seemed to help you I would be inclined to believe the rendering is similar between the two.