The most ancient paper I found so far where CGL MHD equations are given in a conservative form is published by Alexander [Physics of Fluids, 1993, http://scitation.aip.org/content/aip/journal/pofb/5/11/10.1063/1.860581]. As to Santos' et al paper, indicated by Andrei I. Osin, that system is only partially conservative as the last two eqs in system (1) are not conservative. 

https://books.google.com/books?isbn=1107006252

arxiv.org/pdf/1109.0057

www.nonlin-processes-geophys.net/14/557/2007/npg-14-557-2007.pdf

Astrophys. Space Sci. Trans., 6, 31–34, 2009

www.astrophys-space-sci-trans.net/6/31/2009/

V. G´enot. Analytical solutions for anisotropic MHD shocks

The paper did not deal with Chew-Goldberger-Low equations in conservative form but may be of interest.  It was published in a short-lived publication.  The paper is M. Tan and B. Abraham-Shrauner, "Solar Wind for a Magnetized Plasma with Tensor Pressure," Cosmic Electrodynamics, 3, 71-80 (1972).

Chapter 3 in: Blokhin A., Trakhinin Y. Stability of strong discontinuities in magnetohydrodynamics and electrohydrodynamics. New York: Nova Science Publishers, 2003.      (I attached its pdf)

In Chapter 4 of the above monograph you can also find symmetrization of the CGL equations (they are written in the form of a symmetric hyperbolic system).

The usual form of CGL law is given in terms of P_para and P_perp (in the frame of anisotropic MHD). Under this form, it may seem difficult, at first sight, to put it under a conservative form. But recall that it is a "double adiabatic law", which means that it originally derives from a closure equation which concerns the heat flux : Q=0. Under this form, it is trivially conservative. You can then simply use the third order moment equation with Q=0 in your system instead of the classical CGL form.

See for instance :

Chust & Belmont, Phys. Plasmas 13, 012506 (2006); http://dx.doi.org/10.1063/1.2138568

Newcombe, W.A. 1962, Lagrangian and Hamiltonian Methods in Magneto hydrodynamics, Nuclear Fusion Supply. (Part 2), 451-463.