All of the EBSCO databases have a built-in export to EndNote Web.
Once you have found an interesting article, either:
Be sure to choose the Direct Export to EndNote Web option on the Export page. You will be asked to log into EndNote Web, if you aren't already logged in. Your new citations go into the Unfiled folder by default.
Once you have PubMed copied to your Favorites, it will show there so you don't need to repeat this step the next time you search PubMed.