You should be able to save a search -- up to 200, I believe -- directly from the search results page.
Note you must actually be searching using keywords; you cannot save when browsing a category without performing a search by actually entering keywords and using the "search" button.
If you have less than 200 saved searches and you are having problems saving a new search, try using another browser to see if that makes a difference. Sometimes an overly aggressive ad blocker can interfere with page elements on eBay, or page headings may not always appear until the page is refreshed.
