They are normally released. However it was suspected that part of the cause for the short lifespans in captive animals was because the collection of an animal was random and there wasn't anywhere prepared to immediately house it properly. Therefore a set-up was installed at Alice Springs - basically some big tubs which could be filled with sand, and with a heating unit on one side to provide a gradient - so that if any were obtained unexpectedly they could be housed, but I'm not sure it was ever actually used. There aren't any plans to try and start a captive population, or even to deliberately capture any individual animals.
The animals probably aren't rare, just rarely seen. Their skins used to be traded in pretty large numbers by the Aborigines - there is an estimate of "several thousands" of skins being traded at markets between 1900 and 1920 on the edge of the Simpson Desert. A European museum collector named Byrne obtained between 40 and 50 animals in the same general area in the late 1800s.