yes .. you are correct. SQLyog 6.x encodes such files as UTF8. There is no option not to! if you use the file with a program that does not handle UTF8, there is a problem!
As a workaround you can use version 5.32 for this particular operation. It uses ANSI encoding for such files. This is the only 'short term' solution i can offer.
Download link to 5.32 COMMUNITY:
http://webyog.com/downloads/SQLyog532.exe