Hit the SAVE pull down menu underneath the palette

Use the SAVE option for your first time saving a palette or to update the file you retrieved.
Select the SAVE AS option to make a copy of palette,

At first SAVE or when you use SAVE AS  an interface will open.
Name the palette. then (optional) select the folder to store the palette in

You can also create a new folder at the point: 

Check out the video below on 'how to save a palette'.