I'm looking for a way to find subscribers engaging with us through social and create data extensions for them for later targeting. I know I can create a case through a macro, but is there any other connection to Sales Cloud or Email Studio functionality from within Social Studio?
There is no connection of this type. This is not a functional limitation but a legal one.
Under those circumstances your process will also violate the Salesforce terms your company (or your customer) signed at the risk of a contract penalty and service shutdown. This is supposed to prevent harm to the Saleaforce sender reputation caused by too many unsolicited e-mail (Spam).
Summarized: Don't do this at all :)