Yes, I would try to save it. If it were an animal that we don't have to fear (mice, birds, etc.) I would simply get gloves and put it in a shoebox and transport it to a wildlife refuge.

I have done this before with birds, chipmunks and squirrels. The people there are extremely friendly and will help any animal no matter how ordinary it may be.

If it were something more intimidating or large, I would call the wildlife refuge and let them know the details of the injury and location of the animal.