Okay well this is how I do it.
1. Click on Styles at the top left of the styles palette so you can see all the styles that are loaded currently. Empty all the styles out of your styles pallette window, you can do this by holding alt till you see little scissors when you hover over each one, click on each one till you get them all removed from your styles palette
2. create your style, then click on Styles at the top of the left hand list, now click "new style" and give it a name. you should see it appear as a thumbnail in the main styles palette window (be sure to use your designer name and the name of the style when naming each style)
3. If you are doing a set of styles, do all of them, repeating the "new style" naming process till you have them all as thumbnails in the styles palette main window.
Once you are happy with your set click on the little fly out triangle to the right of the main styles window and choose Save Styles.
4. Save the styles set where you want them and be sure to give it a clear name
Hope this helps Rebecca!!