On the direct screen (that's the one that doesn't have numbers going down the left edge), type SAVE and a filename in quotes, such as follows.
SAVE"TICTACTOE"
This will save the program that's currently in slot 0. If you want save a program that's in a different slot, you need to specify PRGx in front of the name (where x is the slot number.) Such as this.
SAVE"PRG1:TICTACTOE"