Well, first after you press the + you get a little window to give the new set a name, do that and click 'OK' and then the option to save as 'whole group' or 'individual comes up. Did you get the' name new set 'window when you clicked '+' ?

" Try and be nice to people, avoid eating fat, read a good book every now and then, get some walking in, and try and live together in peace and harmony with people of all creeds and nations."
-Monty Python