The SSC format is the standard MediaShout format script file that simply contains the script from your presentation. There is no media associated with it (but is a smaller file size).
The SSCX format is a new format that bundles all of the media into the single file (similar to Packing your Presentation). This way, you only have to save the SSCX file to take it to another computer (but it is a larger file size than just a standard SSC). If you aren't moving it from computer to computer, then you can just use the standard SSC file and you will be fine. The SCCX is great if you will not need the media in that script on another computer in the future. The media is all packed into one and there is no way to extract it out into separate media files.
For SSCX: File -> Save As... -> Save As Type... -> SSCX
For SSC: File -> Pack