With "No Preset" you are getting closer... Here you should click/double click to enter the new name!
Than you can "Save", I normally press it again to be sure (with overwrite).
These presets are saved internally by Sonar. Once saved, you can work with them using Cakewalk Plug-in Manager from utilities menu. You can import/export/manage all of them at one place. You can export all presets for one plug-in into one SPP file, quite good approach for backup/transfer. Another advantage is key/control surface binding to change presets, plug-in independent way. Especially useful for plug-ins which have no own binding for that.