Thanks, guys. It's funny, I had notifications disabled, so I hadn't seen your replies until now as I'm logging on to say that I figured it out. I even went through the same steps, first checking the USB stick, reformatting, trying a second stick, and then I played with the menus a bit more and finally discovered that you must first create a Bank/Combo in Tools > Crea *before* you can save into it. I hadn't expected that extra step, but I'm glad to be up and running now.
Xavier, adding a line like the following at the beginning of 2. Save in the manual might help other newcomers like myself:
Presets can be saved only into preexisting Banks or Combos. To save a preset in an empty slot, you must first create a Bank or Combo in that slot by going to Tools > Crea. Once you have created a Bank or Combo slot, you will find it under Menu > Save.