Suppose, while editing an image you created a cool new style. And now you want to save it for later use.
1. In the Layers panel, select the layer containing the created style.
2. Open the "Styles" dialog and apply the "Save Layer Style" command.
3. In the dialog that opens, enter the name for the new style and choose destination category.
To create a new set, select in the drop menu "New category..." item and enter the set name (screenshot).
The saved style appears in the "Styles" dialog immediately. Moreover, you already can apply it to a layer.
To make the new style appear in the "Layer Styles" tab of the Effects panel you have to delete the PSE cache-file.
Save all the required layer styles.