Except that that would zombify everyone around them, as we know. Not only is it horrible, and Saul wouldn't do it, but it would also make it hard for them to leave, what with all the zombies around them and stuff.
On a side note, we aren't 100% sure that Saul is immune, it might have been the antibiotics, and he should be long done with those (i don't believe that, but it might be true...)