On rare occasions they'll let you keep them, but only if it's obvious that they're not going to cause trouble. The vast majority aren't that lucky. And the difference between a brand-new wisdom tooth and a fully developed one is horrible: they're like three times the size, and they have this nasty habit of getting nerves twirled around their roots. Makes a future extraction a hundred times more difficult and dangerous on all counts.
Here, I even found a picture:
