Cyndi - the only way I know of to save a single pattern into a .pat file is the way Tracy has explained. Otherwise, once you click on "Save Set" it will save all the patterns you see into one .pat file...
Every time you make your own patterns, you should save them into a .pat file, or pattern fill a 12X12 canvas & save that.
If you've deleted pattern files that have not yet been saved, I don't think there is a way to get them back...
