This is a good example of the subtle sexual innuendos for which Shakespeare is famous. When Gremio tells Petruchio to save his tale, his story, for later, Petruchio intentionally misinterprets “saving your tale [tail]” to mean “sparing your penis,” and jokingly responds that he would happily be doing (it)—having sex. Gremio picks up on the joke and says that he has no doubt that Petruchio would rather be doing it, but thinks that Petruchio will curse the day he ever got involved with Katherina.