Using the Save As Dialog Box

  The Save As dialog box prompts you for the name of the draft
  message.

  Enter a name of 39 characters or fewer.

  By default, the file type DRAFT is appended to the file name
  and the file is stored in your default directory.  If you specify
  a different file type or directory, Mail does not list this file
  when you request a list of your draft files.

  Click on the OK button to save the message, or click on the
  Cancel button to cancel the save operation.