You can open up a program editor (see Section 25.1.1) with the menu item Prg ▸ New program or with Alt+P. If you select this item, you will be prompted for information to fill out a template for a program and then be left in the program editor.
At the top of the program editor are menus and buttons, at the far right will be a Save button that you can press to save the program. The first time you save a program, you will be prompted for a file name; you should choose a name ending in .cxx. Once a program is saved, the file name will appear to the right of the Save button. If you want to save the program under a different name, use the Prog ▸ Save as item from the program editor menu.
To insert a previously saved program, use the Prog ▸ Load item from the program editor menu.