Hardly the biggest problem in the world, so formal apology for wading in (I'm impressed with this whole setup, and compared to working with basic Windows a few minor newbee ailments don't compare!)
As an update - I've found 3 places to save the theme from - right-click the DX tray icon, SaveAs in DX Settings, and SaveAs from the DX Settings Control Menu. Unfortunately I don't get a save as window. What I notice is that it seems to save by default to the Theme folder. I can just duplicate this as a workaround I guess?
Thanks for responding, and I'll take some time to look through the history.