When creating a new email message, you should get an option to "Save As New Template" once you start typing in the text area of either the HTML or plain text messages. The option does not appear when you type in the HTML message if CiviCRM is configured to use TinyMCE. The option displays fine when you type in the HTML message if CKEditor is configured or if you type in the plain text message.

The same problem exists on the Create PDF Letter page.